findbeststep.m

I developed an algorithm for using local ICA in denoising multidimensional data. It uses delay embed

function [step,cs] = findbeststep(D,lags);
% findbeststep - calculate best step in delaying
%
% [step,cs] = findbeststep(D)
%
% 1.6.05
% Peter Gruber

error(nargchk(1,2,nargin))     % check no. of input args

if (nargin<2) lags=0; end

cs=[];
step = 1;
old = cov(fortrandlay(D,1,step)');
old = norm(old(1,:));
d   = cov(fortrandlay(D,1,step+1)');
d   = norm(d(1,:));
while ((d<old) || (step<lags))
 cs(step)=old;
 step = step + 1;
 old = d;
 d   = cov(fortrandlay(D,1,step+1)');
 d   = norm(d(1,:));
end
cs(step)=old;

return