Related papers: Regularized Block Toeplitz Covariance Matrix Estim…

We develop latent variable models for Bayesian learning based low-rank matrix completion and reconstruction from linear measurements. For under-determined systems, the developed methods are shown to reconstruct low-rank matrices when…

Robust Principal Component Analysis (RPCA) is a fundamental technique for decomposing data into low-rank and sparse components, which plays a critical role for applications such as image processing and anomaly detection. Traditional RPCA…

Principal component analysis (PCA) is widely used for dimensionality reduction, with well-documented merits in various applications involving high-dimensional data, including computer vision, preference measurement, and bioinformatics. In…

In this paper, we consider the Group Lasso estimator of the covariance matrix of a stochastic process corrupted by an additive noise. We propose to estimate the covariance matrix in a high-dimensional setting under the assumption that the…

We propose a new and easy-to-use method for identifying cointegrated components of nonstationary time series, consisting of an eigenanalysis for a certain non-negative definite matrix. Our setting is model-free, and we allow the…

This review article focuses on regularised estimation procedures applicable to geostatistical and spatial econometric models. These methods are particularly relevant in the case of big geospatial data for dimensionality reduction or model…

Source enumeration typically relies on subspace-based techniques that require accurate separation of signal and noise subspaces. However, prior works do not address coherent sources in small uniform linear arrays, where ambiguities arise in…

This paper investigates the problem of robust model predictive control (RMPC) of linear-time-invariant (LTI) discrete-time systems subject to structured uncertainty and bounded disturbances. Typically, the constrained RMPC problem with…

This paper proposes a Matrix Error Correction Model to identify cointegration relations in matrix-valued time series. We hereby allow separate cointegrating relations along the rows and columns of the matrix-valued time series and use…

We propose a Bayesian nonparametric mixture model for the reconstruction and prediction from observed time series data, of discretized stochastic dynamical systems, based on Markov Chain Monte Carlo methods (MCMC). Our results can be used…

We show that sufficiently low tensor rank for the balanced tripartitioning tensor $P_d(x,y,z)=\sum_{A,B,C\in\binom{[3d]}{d}:A\cup B\cup C=[3d]}x_Ay_Bz_C$ for a large enough constant $d$ implies uniform arithmetic circuits for the matrix…

Matrix normal models have an associated 4-tensor for their covariance representation. The covariance array associated with a matrix normal model is naturally represented as a Kronecker-product structured covariance associated with the…

This contribution proposes a recursive set-membership method for the ellipsoidal state characterization for discrete-time linear time-varying models with additive unknown disturbances vectors, bounded by possibly degenerate zonotopes and…

Temporal-difference learning with function approximation can be unstable under off-policy sampling. TDC stabilizes off-policy TD through an auxiliary covariance correction, and TDRC further regularizes this correction in a single-timescale…

We propose a distributionally robust formulation for simultaneously estimating the covariance matrix and the precision matrix of a random vector.The proposed model minimizes the worst-case weighted sum of the Frobenius loss of the…

State estimates from weak constraint 4D-Var data assimilation can vary significantly depending on the data and model error covariances. As a result, the accuracy of these estimates heavily depends on the correct specification of both model…

We propose a penalized likelihood method to fit the linear discriminant analysis model when the predictor is matrix valued. We simultaneously estimate the means and the precision matrix, which we assume has a Kronecker product…

The computation of a structured canonical polyadic decomposition (CPD) is useful to address several important modeling problems in real-world applications. In this paper, we consider the identification of a nonlinear system by means of a…

This paper introduces a subspace method for the estimation of an array covariance matrix. It is shown that when the received signals are uncorrelated, the true array covariance matrices lie in a specific subspace whose dimension is…

The estimation of covariance matrices of multiple classes with limited training data is a difficult problem. The sample covariance matrix (SCM) is known to perform poorly when the number of variables is large compared to the available…