Related papers: On Conditions for Linearity of Optimal Estimation
This paper studies the functional uniqueness and stability of Gaussian priors in optimal $L^1$ estimation. While it is well known that the Gaussian prior uniquely induces linear conditional means under Gaussian noise, the analogous question…
We study a seemingly unexpected and relatively less understood overfitting aspect of a fundamental tool in sparse linear modeling - best subset selection, which minimizes the residual sum of squares subject to a constraint on the number of…
We study stochastic team problems with static information structure where we assume controllers have linear information and quadratic cost but allow the noise to be from a non-Gaussian class. When the noise is Gaussian, it is well known…
Linear Least Squares is a very well known technique for parameter estimation, which is used even when sub-optimal, because of its very low computational requirements and the fact that exact knowledge of the noise statistics is not required.…
This paper considers the classification of linear subspaces with mismatched classifiers. In particular, we assume a model where one observes signals in the presence of isotropic Gaussian noise and the distribution of the signals conditioned…
We present new fundamental results for the mean square error (MSE)-optimal conditional mean estimator (CME) in one-bit quantized systems for a Gaussian mixture model (GMM) distributed signal of interest, possibly corrupted by additive white…
Many multichannel systems use a linear filter to retrieve a signal of interest corrupted by noise whose statistics are partly unknown. The optimal filter in Gaussian noise requires knowledge of the noise covariance matrix $\Sigma$ and in…
The minimum mean square error of the estimation of a non Gaussian signal where observed from an additive white Gaussian noise channel's output, is analyzed. First, a quite general time-continuous channel model is assumed for which the…
This note addresses the question of optimally estimating a linear functional of an object acquired through linear observations corrupted by random noise, where optimality pertains to a worst-case setting tied to a symmetric, convex, and…
In a noiseless linear estimation problem, one aims to reconstruct a vector x* from the knowledge of its linear projections y=Phi x*. There have been many theoretical works concentrating on the case where the matrix Phi is a random i.i.d.…
We perform a non-asymptotic analysis on the singular vector distribution under Gaussian noise. In particular, we provide sufficient conditions on a matrix for its first few singular vectors to have near normal distribution. Our result can…
We consider distributed estimation of a Gaussian source in a heterogenous bandwidth constrained sensor network, where the source is corrupted by independent multiplicative and additive observation noises, with incomplete statistical…
The problem of remotely stabilizing a noisy linear time invariant plant over a Gaussian relay network is addressed. The network is comprised of a sensor node, a group of relay nodes and a remote controller. The sensor and the relay nodes…
This paper considers a sequential estimation and sensor scheduling problem with one sensor and one estimator. The sensor makes sequential observations about the state of an underlying memoryless stochastic process, and makes a decision as…
In continuation to a recent work on the statistical--mechanical analysis of minimum mean square error (MMSE) estimation in Gaussian noise via its relation to the mutual information (the I-MMSE relation), here we propose a simple and more…
Tight bounds on the minimum mean square error for the additive Gaussian noise channel are derived, when the input distribution is constrained to be epsilon-close to a Gaussian reference distribution in terms of the Kullback--Leibler…
Enhanced Gaussian noise models are used to demonstrate that the per-block SNR after fibre transmission varies significantly due to the variable-composition nature of modern probabilistic shaping schemes. We propose a nonlinearity-optimised…
We consider signal source localization from range-difference measurements. First, we give some readily-checked conditions on measurement noises and sensor deployment to guarantee the asymptotic identifiability of the model and show the…
We analyze the problem of estimating a signal from multiple measurements on a $\mbox{group action channel}$ that linearly transforms a signal by a random group action followed by a fixed projection and additive Gaussian noise. This channel…
The design of the precoder the maximizes the mutual information in linear vector Gaussian channels with an arbitrary input distribution is studied. Precisely, the precoder optimal left singular vectors and singular values are derived. The…