Related papers: Robust spiked random matrices and a robust G-MUSIC…
The robust estimator presented in this paper processes each structure independently. The scales of the structures are estimated adaptively and no threshold is involved in spite of different objective functions. The user has to specify only…
We consider the matrix completion problem under a form of row/column weighted entrywise sampling, including the case of uniform entrywise sampling as a special case. We analyze the associated random observation operator, and prove that with…
This article studies the behavior of the Maronna robust scatter estimator $\hat{C}_N\in \mathbb{C}^{N\times N}$ of a sequence of observations $y_1,...,y_n$ which is composed of a $K$ dimensional signal drown in a heavy tailed noise, i.e…
We study the inverse problem of locating point sources from far-field data under plane wave incidence. A direct computational method is developed based on multiple scattering theory, using a novel indicator function to avoid iterative…
The dependency structure of multivariate data can be analyzed using the covariance matrix $\Sigma$. In many fields the precision matrix $\Sigma^{-1}$ is even more informative. As the sample covariance estimator is singular in…
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…
Covariance matrices play a major role in statistics, signal processing and machine learning applications. This paper focuses on the \textit{semiparametric} covariance/scatter matrix estimation problem in elliptical distributions. The class…
Determining the number of factors in high-dimensional factor modeling is essential but challenging, especially when the data are heavy-tailed. In this paper, we introduce a new estimator based on the spectral properties of Spearman sample…
This article studies the \emph{robust covariance matrix estimation} of a data collection $X = (x_1,\ldots,x_n)$ with $x_i = \sqrt \tau_i z_i + m$, where $z_i \in \mathbb R^p$ is a \textit{concentrated vector} (e.g., an elliptical random…
We consider a prototypical problem of Bayesian inference for a structured spiked model: a low-rank signal is corrupted by additive noise. While both information-theoretic and algorithmic limits are well understood when the noise is a…
In this article, the joint fluctuations of the extreme eigenvalues and eigenvectors of a large dimensional sample covariance matrix are analyzed when the associated population covariance matrix is a finite-rank perturbation of the identity…
This paper focuses on investigating Stein's invariant shrinkage estimators for large sample covariance matrices and precision matrices in high-dimensional settings. We consider models that have nearly arbitrary population covariance…
When a wave, such as sound or light, scatters within a densely packed particulate, it can be rescattered many times between the particles, which is called multiple scattering. Multiple scattering can be unavoidable when: trying to use sound…
Let there be given a contaminated list of n R^d-valued observations coming from g different, normally distributed populations with a common covariance matrix. We compute the ML-estimator with respect to a certain statistical model with n-r…
The paper algorithmizes the problem of regime change point identification for data measured in a system exhibiting impulsive behaviors. This is a fundamental challenge for annotation of measurement data relevant, e.g., for designing…
Synthetic aperture radar (SAR) tomography (TomoSAR) is an appealing tool for the extraction of height information of urban infrastructures. Due to the widespread applications of the MUSIC algorithm in source localization, it is a suitable…
We provide a new estimator of integral operators with smooth kernels, obtained from a set of scattered and noisy impulse responses. The proposed approach relies on the formalism of smoothing in reproducing kernel Hilbert spaces and on the…
We study the problem of computationally efficient robust estimation of the covariance/scatter matrix of elliptical distributions -- that is, affine transformations of spherically symmetric distributions -- under the strong contamination…
Recent work has generalized several results concerning the well-understood spiked Wigner matrix model of a low-rank signal matrix corrupted by additive i.i.d. Gaussian noise to the inhomogeneous case, where the noise has a variance profile.…
Multivariate location and scatter matrix estimation is a cornerstone in multivariate data analysis. We consider this problem when the data may contain independent cellwise and casewise outliers. Flat data sets with a large number of…