Comon's GAP criterion to evaluate the performance of an ICA algorithm.
Usage
ComonGAP(A, A.hat)
Value
The value of the Comon's GAP.
Arguments
A
The true square mixing matrix.
A.hat
The estimated square mixing matrix.
Author
Klaus Nordhausen
Details
Comon's GAP criterion is permutation and scale invariant. It can take every positive value and 0 corresponds to an optimal separation.
If A is however nearly singular the values of the criterion can be huge.
Note that this function assumes the ICA model is \(X = S A'\), as is assumed by JADE and ics. However fastICA and
PearsonICA assume \(X = S A\). Therefore matrices from those functions have to be transposed first.
References
Comon, P., (1994), Independent Component Analysis, A new concept?, Signal Processing, 36, 287--314.