Related papers: Robust Covariance Estimation under Imperfect Const…

Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation for a wide family of metrics. The method is shown to…

High-dimensional matrix regression has been studied in various aspects, such as statistical properties, computational efficiency and application to specific instances including multivariate regression, system identification and matrix…

This paper addresses the adaptive radar target detection problem in the presence of Gaussian interference with unknown statistical properties. To this end, the problem is first formulated as a binary hypothesis test, and then we derive a…

We consider the multivariate response regression problem with a regression coefficient matrix of low, unknown rank. In this setting, we analyze a new criterion for selecting the optimal reduced rank. This criterion differs notably from the…

The comovement phenomenon in financial markets creates decision scenarios with positively correlated asset returns. This paper addresses covariance matrix estimation under such conditions, motivated by observations of significant positive…

This paper addresses the robust adaptive beamforming (RAB) problem via the worst-case signal-to-interference-plus-noise ratio (SINR) maximization over distributional uncertainty sets for the random interference-plus-noise covariance (INC)…

The adaptive classification of the interference covariance matrix structure for radar signal processing applications is addressed in this paper. This represents a key issue because many detection architectures are synthesized assuming a…

A sequential decision process in which an adaptive radar system repeatedly interacts with a finite-state target channel is studied. The radar is capable of passively sensing the spectrum at regular intervals, which provides side information…

Over the past decades, there has been a surge of interest in studying low-dimensional structures within high-dimensional data. Statistical factor models $-$ i.e., low-rank plus diagonal covariance structures $-$ offer a powerful framework…

This paper considers the problem of robustly estimating the parameters of a heavy-tailed multivariate distribution when the covariance matrix is known to have the structure of a low-rank matrix plus a diagonal matrix as considered in factor…

Adaptive algorithms belong to an important class of algorithms used in radar target detection to overcome prior uncertainty of interference covariance. The contamination of the empirical covariance matrix by the useful signal leads to…

This work examines the optimal covariance steering problem for systems subject to unknown parameters that enter multiplicatively with the state and control, in addition to additive disturbances. In contrast to existing works, the unknown…

State estimation is a fundamental problem in control and signal processing, for which the Kalman Filter provides an optimal solution under linear dynamics, Gaussian noise, and known noise covariances. However, these assumptions often fail…

This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…

This paper deals with adaptive radar detection of a subspace signal competing with two sources of interference. The former is Gaussian with unknown covariance matrix and accounts for the joint presence of clutter plus thermal noise. The…

There is a great need for robust techniques in data mining and machine learning contexts where many standard techniques such as principal component analysis and linear discriminant analysis are inherently susceptible to outliers.…

We explore and illustrate the concept of ranked sparsity, a phenomenon that often occurs naturally in modeling applications when an expected disparity exists in the quality of information between different feature sets. Its presence can…

This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…

Multiple-stage adaptive architectures are conceived to face with the problem of target detection buried in noise, clutter, and intentional interference. First, a scenario where the radar system is under the electronic attack of noise-like…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…