We propose a new linear method for dimension reduction to identify non-Gaussian components in high dimensional data. Our method, NGCA (non-Gaussian component analysis), uses a very general semi-parametric framework. In contrast to existing projection methods we define what is uninteresting (Gaussian): by projecting out uninterestingness, we can estimate the relevant non-Gaussian subspace. We show that the estimation error of finding the non-Gaussian components tends to zero at a parametric rate. Once NGCA components are identified and extracted, various tasks can be applied in the data analysis process, like data visualization, clustering, denoising or classification. A numerical study demonstrates the usefulness of our method.

We propose a new linear method for dimension reduction to identify non-Gaussian components in high dimensional data. Our method, NGCA (non-Gaussian component analysis), uses a very general semi-parametric framework. In contrast to existing projection methods we define what is uninteresting (Gaussian): by projecting out uninterestingness, we can estimate the relevant non-Gaussian subspace. We show that the estimation error of finding the non-Gaussian components tends to zero at a parametric rate. Once NGCA components are identified and extracted, various tasks can be applied in the data analysis process, like data visualization, clustering, denoising or classification. A numerical study demonstrates the usefulness of our method.

We propose a new linear method for dimension reduction to identify non-Gaussian components in high dimensional data. Our method, NGCA (non-Gaussian component analysis), uses a very general semi-parametric framework. In contrast to existing projection methods we define what is uninteresting (Gaussian): by projecting out uninterestingness, we can estimate therelevant non-Gaussian subspace. We show that the estimation error of finding the non-Gaussian components tends to zero at a parametric rate.Once NGCA components are identified and extracted, various tasks can be applied in the data analysis process, like data visualization, clustering, denoising or classification. A numerical study demonstrates the usefulness of our method.

Dimension reduction provides compact representations for storage, transmission, and classification. Dimension reduction algorithms operate by identifying and eliminating statistical redundancies in the data. The optimal linear technique for dimension reduction is principal component analysis (PCA).

Dimension reduction provides compact representations for storage, transmission, and classification. Dimension reduction algorithms operate by identifying and eliminating statistical redundancies in the data. The optimal linear technique for dimension reduction is principal component analysis (PCA).

We propose a new distance measure which is optimal for the task of local PCA. Our results with speech and image data indicate that the nonlinear techniques provide more accurate encodings than PCA. Our local linear algorithm produces more accurate encodings (except for one simulation with image data), and trains much faster than five layer auto-associative networks. Acknowledgments This work was supported by grants from the Air Force Office of Scientific Research (F49620-93-1-0253) and Electric Power Research Institute (RP8015-2). The authors are grateful to Gary Cottrell and David DeMers for providing their image database and clarifying their experimental results. We also thank our colleagues in the Center for Spoken Language Understanding at OGI for providing speech data.