Paper:
Independence clustering (without a matrix)
The independence clustering problem is considered in the following formulation: given a set S of random variables, it is required to find the finest partitioning {U 1 , . . . , U k } of S into clusters such that the clusters U 1 , . . . , U k are mutually independent. Since mutual independence is the target, pairwise similarity measurements are of no use, and thus traditional clustering algorithms are inapplicable. The distribution of the random variables in S is, in general, unknown, but a sample is available. Thus, the problem is cast in terms of time series. Two forms of sampling are considered: i.i.d. and stationary time series, with the main emphasis being on the latter, more general, case. A consistent, computationally tractable algorithm for each of the settings is proposed, and a number of fascinating open directions for further research are outlined.

Review:
ABOUT:
This paper is about clustering N random variable into k mutually independent clusters. It considers the cases when k is known and unknown, as well as the cases when the distribution of the N variables is known, when it needs to be estimated from n i.i.d. samples, and when it needs to be estimated from stationary samples. Section 3 provides an optimal algorithm for known distributions which uses at most a 2kN^2 oracle calls. Subsequent sections build on this algorithm in more complicated cases.
I do not know the clustering literature well enough to put this work in context. However, if the overview of the prior work is accurate, Sections 3 and 4 are a nice and important contribution. I have some reservations about Section 5. Overall, the exposition of results could be improved.
COMMENTS:
(1) I am not entirely convinced by the proof for Theorem 1. I believe the statement of the result is probably correct, but the proof needs to be more rigorous. It could be useful to state what exactly is meant by mutual independents for the benefit of the reader* and then to highlight in the proof how the algorithm does achieve a mutually independent clustering. For the Split function part, an inductive proof could be one way to make the proof rigorous and easier to follow.
(2) It does not seem that the stationary case in Section 5 is covered adequately. It kind of reads like the authors tried to do too much and actually accomplished little. In parts, it just looks like a literature review or a math tutorial (e.g. Section 5.1).
- I am not sure what the issue is with mutual information rate being zero is. One natural extension of the set up in Section 4 would be to cluster the N random variables according to their stationary distribution at time i with the n time series samples being then used to estimate this distribution as well as possible. In that case the mutual information is perfectly well defined and everything follows through. This does not seem to be what is actually being done, and instead the clustering is being performed over a whole infinite time series.
- The sum information in Definition 1 seems far less interesting and fundamental than the authors try to make it out to be. Also, a side note, people have spent time thinking about what a mutual information rate for a random process should be in full generality [A] and this question maybe deserves more attention than it is given here.
*I understand that some may find this too basic. But, having this definition side by side with the proof would help the reader confirm correctness. Somewhat more importantly, this issue of pairwise independence vs mutual independence is the crux of the paper. It should be stated explicitly (i.e. using math) what that means.
MINOR COMMENT
- Line 156: N not n
[A] Te Sun Han, Information-Spectrum Method in Information Theory .
Springer, 2003