MultivariateStats.jl
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FastICA missing a complex variant?
This would be useful as described in
E. Bingham and A. Hyvarinen, “A fast fixed-point algorithm for independent components analysis of complex valued signals,” International Journal of Neural Systems, vol. 10, pp. 1–8, Feb. 2000
Same for PCA, complex values are not supported, unlike for instance matlab's PCA.