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Kernel random matrices have attracted a lot of interest in recent years, from both practical and theoretical standpoints. Most of the theoretical work so far has focused on the case were the data is sampled from a low-dimensional structure.…
In this paper, we develop new statistical theory for probabilistic principal component analysis models in high dimensions. The focus is the estimation of the noise variance, which is an important and unresolved issue when the number of…
We analyse the matrix factorization problem. Given a noisy measurement of a product of two matrices, the problem is to estimate back the original matrices. It arises in many applications such as dictionary learning, blind matrix…
Second-order information -- such as curvature or data covariance -- is critical for optimisation, diagnostics, and robustness. However, in many modern settings, only the gradients are observable. We show that the gradients alone can reveal…
We consider Bayesian linear regression with sparsity-inducing prior and design efficient sampling algorithms leveraging posterior contraction properties. A quasi-likelihood with Gaussian spike-and-slab (that is favorable both statistically…
We consider the problem of parameter estimation in a high-dimensional generalized linear model. Spectral methods obtained via the principal eigenvector of a suitable data-dependent matrix provide a simple yet surprisingly effective…
This paper proposes a novel approach to robust radar detection of range-spread targets embedded in Gaussian noise with unknown covariance matrix. The idea is to model the useful target echo in each range cell as the sum of a coherent signal…
The sequential analysis of the problem of joint signal detection and signal-to-noise ratio (SNR) estimation for a linear Gaussian observation model is considered. The problem is posed as an optimization setup where the goal is to minimize…
Probabilistic machine learning models are distinguished by their ability to integrate prior knowledge of noise statistics, smoothness parameters, and training data uncertainty. A common approach involves modeling data with Gaussian…
We describe a general approach to detection of transient gravitational-wave signals in the presence of non-Gaussian background noise. We prove that under quite general conditions, the ratio of the likelihood of observed data to contain a…
Strong lensing of {gravitational-wave signals} can produce three types of images, denoted as Type-I, Type-II and Type-III, corresponding to the minima, saddle and maxima of the lensing potential of the lensed images. Type-II images, in…
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 derive and study optimal and nearly-optimal strategies for the detection of sinusoidal signals hidden in additive (Gaussian and non-Gaussian) noise. Such strategies are an essential part of algorithms for the detection of the…
Statistical mechanics is used to study unrealizable generalization in two large feed-forward neural networks with binary weights and output, a perceptron and a tree committee machine. The student is trained by a teacher being larger, i.e.…
We study detection of random signals corrupted by noise that over time switch their values (states) from a finite set of possible values, where the switchings occur at unknown points in time. We model such signals by means of a random…
In the matrix sensing problem, one wishes to reconstruct a matrix from (possibly noisy) observations of its linear projections along given directions. We consider this model in the high-dimensional limit: while previous works on this model…
We discuss the detection of gravitational-wave backgrounds in the context of Bayesian inference and suggest a practical definition of what it means for a signal to be considered stochastic---namely, that the Bayesian evidence favors a…
This paper investigates the signal detection problem in colored noise with an unknown covariance matrix. In particular, we focus on detecting an unknown non-random signal by capitalizing on the leading eigenvalue of the whitened sample…
Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating Gaussian data and finding their sample correlation matrix or generating random uniform $[-1,1]$ deviates as pairwise correlations…
We consider the problem of detecting the presence of a spatially correlated multichannel signal corrupted by additive Gaussian noise (i.i.d across sensors). No prior knowledge is assumed about the system parameters such as the noise…