Related papers: Wavelet eigenvalue regression in high dimensions
Predict a new response from a covariate is a challenging task in regression, which raises new question since the era of high-dimensional data. In this paper, we are interested in the inverse regression method from a theoretical viewpoint.…
Wavelet Transforms are a widely used technique for decomposing a signal into coefficient vectors that correspond to distinct frequency/scale bands while retaining time localization. This property enables an adaptive analysis of signals at…
Extremes play a special role in Anomaly Detection. Beyond inference and simulation purposes, probabilistic tools borrowed from Extreme Value Theory (EVT), such as the angular measure, can also be used to design novel statistical learning…
Mathematical formulations and proofs for a wavelet based statistic employed in functional data analysis is elaborately discussed in this report. The propositions and derivations discussed here apply to a wavelet based statistic with hard…
We study the fundamental problem of learning the parameters of a high-dimensional Gaussian in the presence of noise -- where an $\varepsilon$-fraction of our samples were chosen by an adversary. We give robust estimators that achieve…
The construction of synthetic complex-valued signals from real-valued observations is an important step in many time series analysis techniques. The most widely used approach is based on the Hilbert transform, which maps the real-valued…
A new technique for nonparametric regression of multichannel signals is presented. The technique is based on the use of the Rational-Dilation Wavelet Transform (RADWT), equipped with a tunable Q-factor able to provide sparse representations…
In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…
We consider the regression problem of estimating functions on $\mathbb{R}^D$ but supported on a $d$-dimensional manifold $ \mathcal{M} \subset \mathbb{R}^D $ with $ d \ll D $. Drawing ideas from multi-resolution analysis and nonlinear…
Intrinsic wavelet transforms and wavelet estimation methods are introduced for curves in the non-Euclidean space of Hermitian positive definite matrices, with in mind the application to Fourier spectral estimation of multivariate stationary…
In the recent years, methods to estimate the memory parameter using wavelet analysis have gained popularity in many areas of science. Despite its widespread use, a rigorous semi-parametric asymptotic theory, comparable to the one developed…
Characteristic scale is a notion that pervades the geophysical sciences, but it has no widely accepted precise definition. The wavelet transform decomposes a time series into coefficients that are associated with different scales. The…
Heteroscedastic regression models a Gaussian variable's mean and variance as a function of covariates. Parametric methods that employ neural networks for these parameter maps can capture complex relationships in the data. Yet, optimizing…
In this paper, we study nonhomogeneous wavelet systems which have close relations to the fast wavelet transform and homogeneous wavelet systems. We introduce and characterize a pair of frequency-based nonhomogeneous dual wavelet frames in…
In many signal processing applications, one wishes to acquire images that are sparse in transform domains such as spatial finite differences or wavelets using frequency domain samples. For such applications, overwhelming empirical evidence…
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors with optimality. In this problem, not all components of the…
Gaussian process regression is widely used because of its ability to provide well-calibrated uncertainty estimates and handle small or sparse datasets. However, it struggles with high-dimensional data. One possible way to scale this…
The Fr\'echet regression is a useful method for modeling random objects in a general metric space given Euclidean covariates. However, the conventional approach could be sensitive to outlying objects in the sense that the distance from the…
Many scientific and economic problems involve the analysis of high-dimensional time series datasets. However, theoretical studies in high-dimensional statistics to date rely primarily on the assumption of independent and identically…
In this paper, we propose a novel high-dimensional time-varying coefficient estimator for noisy high-frequency observations with a factor structure. In high-frequency finance, we often observe that noises dominate the signal of underlying…