Related papers: Fast Non-Asymptotic Testing And Support Recovery F…

The choice of the sensing matrix is crucial in compressed sensing. Random Gaussian sensing matrices satisfy the restricted isometry property, which is crucial for solving the sparse recovery problem using convex optimization techniques.…

We analyze a practical algorithm for sparse PCA on incomplete and noisy data under a general non-random sampling scheme. The algorithm is based on a semidefinite relaxation of the $\ell_1$-regularized PCA problem. We provide theoretical…

In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…

We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…

We study sparse recovery with structured random measurement matrices having independent, identically distributed, and uniformly bounded rows and with a nontrivial covariance structure. This class of matrices arises from random sampling of…

Consider a Bernoulli-Gaussian complex $n$-vector whose components are $V_i = X_i B_i$, with $X_i \sim \Cc\Nc(0,\Pc_x)$ and binary $B_i$ mutually independent and iid across $i$. This random $q$-sparse vector is multiplied by a square random…

This paper addresses the problem of estimating the Hermitian Toeplitz covariance matrix under practical hardware constraints of sparse observations and coarse quantization. Within the triangular-dithered quantization framework, we propose…

We consider the probability of having two intervals (gaps) without eigenvalues in the bulk scaling limit of the Gaussian Unitary Ensemble of random matrices. We describe uniform asymptotics for the transition between a single large gap and…

We consider high dimensional sparse regression, and develop strategies able to deal with arbitrary -- possibly, severe or coordinated -- errors in the covariance matrix $X$. These may come from corrupted data, persistent experimental…

We study the problem of recovering the structure underlying large Gaussian graphical models or, more generally, partial correlation graphs. In high-dimensional problems it is often too costly to store the entire sample covariance matrix. We…

In this paper, we propose a general framework for the asymptotic analysis of node-based verification-based algorithms. In our analysis we tend the signal length $n$ to infinity. We also let the number of non-zero elements of the signal $k$…

We consider robust covariance estimation with group symmetry constraints. Non-Gaussian covariance estimation, e.g., Tyler scatter estimator and Multivariate Generalized Gaussian distribution methods, usually involve non-convex minimization…

Estimating a sparse covariance matrix is a fundamental problem in high-dimensional statistics. However, thresholding methods developed for independent data are generally not directly applicable to high-dimensional time series, where…

Consider the ensemble of Real Symmetric Toeplitz Matrices, each entry iidrv from a fixed probability distribution p of mean 0, variance 1, and finite higher moments. The limiting spectral measure (the density of normalized eigenvalues)…

We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…

This paper presents a new variable selection approach integrated with Gaussian process (GP) regression. We consider a sparse projection of input variables and a general stationary covariance model that depends on the Euclidean distance…

We investigate whether a Gaussian likelihood, as routinely assumed in the analysis of cosmological data, is supported by simulated survey data. We define test statistics, based on a novel method that first destroys Gaussian correlations in…

The Riemannian geometry of covariance matrices has been essential to several successful applications, in computer vision, biomedical signal and image processing, and radar data processing. For these applications, an important ongoing…

We investigate the asymptotics of eigenvalues of sample covariance matrices associated with a class of non-independent Gaussian processes (separable and temporally stationary) under the Kolmogorov asymptotic regime. The limiting spectral…

Estimation of a high dimensional precision matrix is a critical problem to many areas of statistics including Gaussian graphical models and inference on high dimensional data. Working under the structural assumption of sparsity, we propose…