Diederichs, Elmar; Juditsky, Anatoli; Nemirovski, Arkadi; … - 2011
Sparse non-Gaussian component analysis (SNGCA) is an unsupervised method of extracting a linear structure from a high dimensional data based on estimating a low-dimensional non-Gaussian data component. In this paper we discuss a new approach to direct estimation of the projector on the target...