Non-stationarity

While most machine learning methods make the assumption that data is i.i.d., the brain signal features collected within a brain-computer interface (BCI) experiment and even over multiple BCI sessions typically change over time.

For many machine learning methods in BCI, covariance matrices (more precisely: sample covariance matrix, SCM) are used to describe, how background brain signals auto-covary over time within a single measured EEG channel, and also how the signals of multiple channels cross-covary that are distributed over the scalp.