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###

Weighted covariance matrix

Another interesting approach
was developed in [19], in which ICA
estimation was performed by ordinary eigenvalue decomposition of a
quadratically weighted covariance matrix, i.e.,
.
This approach needs the assumption
that all the independent components have different distributions (in
particular, different kurtoses).
It was realized later [20] that this approach is
in fact a special case of the cumulant tensor approach of
Section 4.3.5.

*Aapo Hyvarinen*

*1999-04-23*