Related papers: Filtering Problem for Functionals of Stationary Pr…
We consider approximate maximum likelihood parameter estimation in nonlinear state-space models. We discuss both direct optimization of the likelihood and expectation--maximization (EM). For EM, we also give closed-form expressions for the…
We introduce computational methods that allow for effective estimation of a flexible, parametric non-stationary spatial model when the field size is too large to compute the multivariate normal likelihood directly. In this method, the field…
Linear fixed point equations in Hilbert spaces arise in a variety of settings, including reinforcement learning, and computational methods for solving differential and integral equations. We study methods that use a collection of random…
In this paper, an abstract framework for the error analysis of discontinuous finite element method is developed for the distributed and Neumann boundary control problems governed by the stationary Stokes equation with control constraints.…
We study the problem of estimating an unknown deterministic signal that is observed through an unknown deterministic data matrix under additive noise. In particular, we present a minimax optimization framework to the least squares problems,…
We study the minimax estimation of covariance eigenfunctions and eigenvalues in functional principal component analysis when $n$ trajectories are observed at $p$ common grid points with additive noise. We consider covariance kernels with…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
Simulating a Gaussian process requires sampling from a high-dimensional Gaussian distribution, which scales cubically with the number of sample locations. Spectral methods address this challenge by exploiting the Fourier representation,…
Stochastic minimax optimization has drawn much attention over the past decade due to its broad applications in machine learning, signal processing and game theory. In some applications, the probability distribution of uncertainty depends on…
We consider a stationary process (with either discrete or continuous time) and find an adaptive approximating stationary process combining approximation quality and supplementary good properties that can be interpreted as additional…
Many spatial processes exhibit nonstationary features. We estimate a variance function from a single process observation where the errors are nonstationary and correlated. We propose a difference-based approach for a one-dimensional…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
We consider a statistical inverse learning problem, where we observe the image of a function $f$ through a linear operator $A$ at i.i.d. random design points $X_i$, superposed with an additive noise. The distribution of the design points is…
In this paper, we develop {finite-time horizon} causal filters using the nonanticipative rate distortion theory. We apply the {developed} theory to {design optimal filters for} time-varying multidimensional Gauss-Markov processes, subject…
Motivated by portfolio allocation and linear discriminant analysis, we consider estimating a functional $\mathbf{\mu}^T \mathbf{\Sigma}^{-1} \mathbf{\mu}$ involving both the mean vector $\mathbf{\mu}$ and covariance matrix…
In this paper, we focus on activating only a few sensors, among many available, to estimate the state of a stochastic process of interest. This problem is important in applications such as target tracking and simultaneous localization and…
We consider the problem of estimation of a linear functional in the Gaussian sequence model where the unknown vector theta in R^d belongs to a class of s-sparse vectors with unknown s. We suggest an adaptive estimator achieving a…
Consider a Poisson point process with unknown support boundary curve $g$, which forms a prototype of an irregular statistical model. We address the problem of estimating non-linear functionals of the form $\int \Phi(g(x))\,dx$. Following a…
We study the problem of estimating a function in the presence of both speckle and additive noises, commonly referred to as the de-speckling problem. Although additive noise has been thoroughly explored in nonparametric estimation, speckle…
We consider the optimal transport problem between multivariate Gaussian stationary stochastic processes. The transportation effort is the variance of the filtered discrepancy process. The main contribution of this technical note is to show…