An efficient entropy rate estimator for complex-valued signal processing: Application to ICA

Estimating likelihood or entropy rate is one of the key issues in many signal processing problems. Mutual information rate, which leads to the minimization of entropy rate, provides a natural cost for achieving blind source separation (BSS). In many complex-valued BSS applications, the latent sources are non-Gaussian, noncircular, and possess sample dependence. Consequently, an effective estimator of entropy rate that jointly considers all three properities of the sources is required. In this paper, we propose such an entropy rate estimator that assumes the sources are generated by invertible filters. With this new entropy rate estimator, we propose a complex entropy rate bound minimization algorithm. Simulation results show that the new method exploits all three properties effectively.