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We propose a method for estimating a covariance matrix that can be represented as a sum of a low-rank matrix and a diagonal matrix. The proposed method compresses high-dimensional data, computes the sample covariance in the compressed…
With a rapid increase in volume and complexity of data sets, there is a need for methods that can extract useful information, for example the relationship between two data sets measured for the same persons. The Partial Least Squares (PLS)…
Regression splines are largely used to investigate and predict data behavior, attracting the interest of mathematicians for their beautiful numerical properties, and of statisticians for their versatility with respect to the applications.…
Traditionally, spline or kernel approaches in combination with parametric estimation are used to infer the linear coefficient (fixed effects) in a partially linear mixed-effects model for repeated measurements. Using machine learning…
Spatial classification with limited feature observations has been a challenging problem in machine learning. The problem exists in applications where only a subset of sensors are deployed at certain spots or partial responses are collected…
In this paper, we study the estimation for a partial-linear single-index model. A two-stage estimation procedure is proposed to estimate the link function for the single index and the parameters in the single index, as well as the…
We consider a semiparametric partly linear model identified by instrumental variables. We propose an estimation method that does not smooth on the instruments and we extend the Landweber-Fridman regularization scheme to the estimation of…
Covariance estimation is ubiquitous in functional data analysis. Yet, the case of functional observations over multidimensional domains introduces computational and statistical challenges, rendering the standard methods effectively…
This paper presents a unified Least-Squares framework for solving nonlinear partial differential equations by recasting the governing system as a residual minimisation problem. A Least-Squares functional is formulated and the corresponding…
In this paper we propose a computationally efficient algorithm for on-line variable selection in multivariate regression problems involving high dimensional data streams. The algorithm recursively extracts all the latent factors of a…
We propose convenient inferential methods for potentially nonstationary multivariate unobserved components models with fractional integration and cointegration. Based on finite-order ARMA approximations in the state space representation,…
The typical approach for recovery of spatially correlated signals is regularized least squares with a coupled regularization term. In the Bayesian framework, this algorithm is seen as a maximum-a-posterior estimator whose postulated prior…
Shearlet systems have so far been only considered as a means to analyze $L^2$-functions defined on $\R^2$, which exhibit curvilinear singularities. However, in applications such as image processing or numerical solvers of partial…
In spite of the recent surge of interest in quantile regression, joint estimation of linear quantile planes remains a great challenge in statistics and econometrics. We propose a novel parametrization that characterizes any collection of…
This paper is devoted to parameter estimation for partially observed polynomial state space models. This class includes discretely observed affine or more generally polynomial Markov processes. The polynomial structure allows for the…
This paper investigates the state estimation problem for a class of complex networks, in which the dynamics of each node is subject to Gaussian noise, system uncertainties and nonlinearities. Based on a regularized least-squares approach,…
Semiparametric regression offers a flexible framework for modeling non-linear relationships between a response and covariates. A prime example are generalized additive models where splines (say) are used to approximate non-linear functional…
This paper focuses on variable selection for a partially linear single-index varying-coefficient model. A regularized variable selection procedure by combining basis function approximations with SCAD penalty is proposed. It can…
Decentralized state estimation in a communication-constrained sensor network is considered. The exchanged estimates are dimension-reduced to reduce the communication load using a linear mapping to a lower-dimensional space. The mean squared…
In this paper we describe active set type algorithms for minimization of a smooth function under general order constraints, an important case being functions on the set of bimonotone r-by-s matrices. These algorithms can be used, for…