Related papers: Minimum-variance multitaper spectral estimation on…
We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distributions are known, but whose joint distribution is unknown.…
In preparation for the era of the time-domain astronomy with upcoming large-scale surveys, we propose a state-space representation of a multivariate damped random walk process as a tool to analyze irregularly-spaced multi-filter light…
The frequency-domain properties of nonstationary functional time series often contain valuable information. These properties are characterized through its time-varying power spectrum. Practitioners seeking low-dimensional summary measures…
We introduce a stochastic global optimization method based on random walks on Grassmannian manifolds. To minimize a continuous objective $\ell:\mathbb{R}^d\rightarrow\mathbb{R}$, the method repeatedly samples random $k$-dimensional linear…
We investigate the effect of the window function on the multipole power spectrum in two different ways. First, we consider the convolved power spectrum including the window effect, which is obtained by following the familiar (FKP) method…
We consider the problem of optimal power allocation in a sensor network where the sensors observe a dynamic parameter in noise and coherently amplify and forward their observations to a fusion center (FC). The FC uses the observations in a…
Optimization problems with the objective function in the form of weighted sum and linear equality constraints are considered. Given that the number of local cost functions can be large as well as the number of constraints, a stochastic…
Distributed aggregation allows the derivation of a given global aggregate property from many individual local values in nodes of an interconnected network system. Simple aggregates such as minima/maxima, counts, sums and averages have been…
We examine power spectrum estimation from wide-sense stationary signals received at different wireless sensors. We organize multiple sensors into several groups, where each group estimates the temporal correlation only at particular lags,…
A number of prototypical optimization problems in multi-agent systems (e.g., task allocation and network load-sharing) exhibit a highly local structure: that is, each agent's decision variables are only directly coupled to few other agent's…
In this paper, we investigate the sparse channel estimation in holographic multiple-input multiple-output (HMIMO) systems. The conventional angular-domain representation fails to capture the continuous angular power spectrum characterized…
Wavelets provide the flexibility to analyse stochastic processes at different scales. Here, we apply them to multivariate point processes as a means of detecting and analysing unknown non-stationarity, both within and across data streams.…
We develop an approach to spectral estimation that has been advocated by Ferrante, Masiero and Pavon and, in the context of the scalar-valued covariance extension problem, by Enqvist and Karlsson. The aim is to determine the power spectrum…
This paper considers a multivariate spatial random field, with each component having univariate marginal distributions of the skew-Gaussian type. We assume that the field is defined spatially on the unit sphere embedded in $\mathbb{R}^3$,…
Spectral embedding uses eigenfunctions of the discrete Laplacian on a weighted graph to obtain coordinates for an embedding of an abstract data set into Euclidean space. We propose a new pre-processing step of first using the eigenfunctions…
This paper introduces a multi-timescale stochastic programming framework designed to address decision-making challenges in power systems, particularly those with high renewable energy penetration. The framework models interactions across…
The highly anisotropic nature of the Lyman-alpha (Ly$\alpha$) forest data introduces a complex survey window function that complicates the measurement of the three-dimensional power spectrum ($P_{\mathrm{3D}}$). In this paper, we present…
Covariance matrix estimation is an important problem in multivariate data analysis, both from theoretical as well as applied points of view. Many simple and popular covariance matrix estimators are known to be severely affected by model…
In this work we present a computationally efficient linear optimization approach for estimating the cross--power spectrum of an hidden multivariate stochastic process from that of another observed process. Sparsity in the resulting…
We review the methodology for measurements of two point functions of the cosmological observables, both power spectra and correlation functions. For pseudo-$C_\ell$ estimators, we will argue that the window weighted overdensity field can…