Novel Approaches to Identify Clusters Using Independent Components Analysis with Application

Abstract

As a statistical and computational technique, independent component analysis (ICA) is employed to separate the source variables into statistically independent components. ICA methods have received growing attention as effective data mining tools. In this paper, two novel ICA-based approaches are proposed to identify the clusters of variables. The identified clusters reduce the dimensionality of the data in a natural way. The first approach, namely “Estimated Mixing Coefficients,” is based on the sum of squares of mixing coefficients, and the second approach, namely “Ranked ${\overline{R}}^2$ ,” uses the ranking pattern of ${\underset{¯}{R}}^2$ of the original and reconstructed series at predefined threshold levels. The proposed techniques are applied to financial time series data to validate their effectiveness. The main focus of the study is on the clustering of multivariate time series datasets using two new proposed approaches based on independent component analysis. The internal and external structures of clusters are also explored using different metrics. Both proposed techniques are compared with some existing clustering techniques. The experimental evaluation results show that the performance of the proposed techniques is better than the existing techniques.