Related papers: Regularized Tyler's Scatter Estimator: Existence, …

Stein showed that the multivariate sample mean is outperformed by "shrinking" to a constant target vector. Ledoit and Wolf extended this approach to the sample covariance matrix and proposed a multiple of the identity as shrinkage target.…

A regularization algorithm using inexact function values and inexact derivatives is proposed and its evaluation complexity analyzed. This algorithm is applicable to unconstrained problems and to problems with inexpensive constraints (that…

Bayesian inference with empirical likelihood faces a challenge as the posterior domain is a proper subset of the original parameter space due to the convex hull constraint. We propose a regularized exponentially tilted empirical likelihood…

The limit distribution of the nonparametric maximum likelihood estimator for interval censored data with more than one observation time per unobservable observation, is still unknown in general. For the so-called separated case, where one…

Low-complexity non-smooth convex regularizers are routinely used to impose some structure (such as sparsity or low-rank) on the coefficients for linear predictors in supervised learning. Model consistency consists then in selecting the…

This paper considers inference in a linear regression model with random right censoring and outliers. The number of outliers can grow with the sample size while their proportion goes to zero. The model is semiparametric and we make only…

Unbiased estimators are introduced for averaged Bregman divergences which generalize Stein's Unbiased (Predictive) Risk Estimator, and the minimization of these estimators is proposed as a regularization parameter selection method for…

Over the past few years, trace regression models have received considerable attention in the context of matrix completion, quantum state tomography, and compressed sensing. Estimation of the underlying matrix from regularization-based…

This paper studies least-square regression penalized with partly smooth convex regularizers. This class of functions is very large and versatile allowing to promote solutions conforming to some notion of low-complexity. Indeed, they force…

In this paper we introduce a new clustering technique called Regularity Clustering. This new technique is based on the practical variants of the two constructive versions of the Regularity Lemma, a very useful tool in graph theory. The…

In this paper, we present perturbation analysis and randomized algorithms for the total least squares (TLS) problems. We derive the perturbation bound and check its sharpness by numerical experiments. Motivated by the recently popular…

The optimization of the variance supplemented by a budget constraint and an asymmetric $\ell_1$ regularizer is carried out analytically by the replica method borrowed from the theory of disordered systems. The asymmetric regularizer allows…

To reduce the x-ray dose in computerized tomography (CT), many constrained optimization approaches have been proposed aiming at minimizing a regularizing function that measures lack of consistency with some prior knowledge about the object…

We consider optimization algorithms that successively minimize simple Taylor-like models of the objective function. Methods of Gauss-Newton type for minimizing the composition of a convex function and a smooth map are common examples. Our…

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…

The discrete distribution of the length of longest increasing subsequences in random permutations of $n$ integers is deeply related to random matrix theory. In a seminal work, Baik, Deift and Johansson provided an asymptotics in terms of…

This paper proposes minimum sliced distance estimation in structural econometric models with possibly parameter-dependent supports. In contrast to likelihood-based estimation, we show that under mild regularity conditions, the minimum…

In a linear regression model with random design, we consider a family of candidate models from which we want to select a `good' model for prediction out-of-sample. We fit the models using block shrinkage estimators, and we focus on the…

One of the goals in scaling sequential machine learning methods pertains to dealing with high-dimensional data spaces. A key related challenge is that many methods heavily depend on obtaining the inverse covariance matrix of the data. It is…

In this paper, we first formalize the problem to be solved, i.e., the Scatter Problem (SP). We then show that SP cannot be deterministically solved. Next, we propose a randomized algorithm for this problem. The proposed solution is…