Related papers: Anisotropy-based optimal filtering in linear discr…
We consider the problem of estimating unknown parameters in stochastic differential equations driven by colored noise, which we model as a sequence of Gaussian stationary processes with decreasing correlation time. We aim to infer…
We use quadratic maximum-likelihood (QML) estimators to constrain models with Gaussian but statistically anisotropic Cosmic Microwave Background (CMB) fluctuations, using CMB maps with realistic sky-coverage and instrumental noise. This…
In this paper, we propose an approach to address the problems with ambiguity in tuning the process and observation noises for a discrete-time linear Kalman filter. Conventional approaches to tuning (e.g. using normalized estimation error…
Spatially referenced data often have autocovariance functions with elliptical isolevel contours, a property known as geometric anisotropy. The anisotropy parameters include the tilt of the ellipse (orientation angle) with respect to a…
This paper considers a noisy data structure recovery problem. The goal is to investigate the following question: Given a noisy observation of a permuted data set, according to which permutation was the original data sorted? The focus is on…
This paper considers the Linear Minimum Variance recursive state estimation for the linear discrete time dynamic system with random state transition and measurement matrices, i.e., random parameter matrices Kalman filtering. It is shown…
Stochastic models in biomolecular contexts can have a state-dependent process noise covariance. The choice of the process noise covariance is an important parameter in the design of a Kalman Filter for state estimation and the theoretical…
We consider inverse problems estimating distributed parameters from indirect noisy observations through discretization of continuum models described by partial differential or integral equations. It is well understood that the errors…
This paper studies the distributed state estimation in sensor network, where $m$ sensors are deployed to infer the $n$-dimensional state of a linear time-invariant (LTI) Gaussian system. By a lossless decomposition of optimal steady-state…
Randomized smoothing has achieved great success for certified robustness against adversarial perturbations. Given any arbitrary classifier, randomized smoothing can guarantee the classifier's prediction over the perturbed input with…
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach…
This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization…
Conventional Kalman filtering (KF) approaches exhibit significant limitations in addressing nonlinear state estimation problems contaminated by non-Gaussian noise disturbances. To overcome these challenges, this work proposes a robust…
In [1], Sinopoli et al. analyze the problem of optimal estimation for linear Gaussian systems where packets containing observations are dropped according to an i.i.d. Bernoulli process, modeling a memoryless erasure channel. In this case…
We use statistical learning methods to construct an adaptive state estimator for nonlinear stochastic systems. Optimal state estimation, in the form of a Kalman filter, requires knowledge of the system's process and measurement uncertainty.…
This work presents a distributionally robust Kalman filter to address uncertainties in noise covariance matrices and predicted covariance estimates. We adopt a distributionally robust formulation using bicausal optimal transport to…
In this paper, we address the distributed filtering and prediction of time-varying random fields represented by linear time-invariant (LTI) dynamical systems. The field is observed by a sparsely connected network of agents/sensors…
State estimation in stochastic dynamical systems with noisy measurements is a challenge. While the Kalman filter is optimal for linear systems with independent Gaussian white noise, real-world conditions often deviate from these…
We study the supervised clustering problem under the two-component anisotropic Gaussian mixture model in high dimensions and in the non-asymptotic setting. We first derive a lower and a matching upper bound for the minimax risk of…
The measure timetable plays a critical role for the accuracy of the estimator. This article deals with the optimization of the schedule of measures for observing a random process in time using a Kalman filter, when the length of the process…