Related papers: A new estimator for LARCH processes
Markov parameters play a key role in system identification. There exists many algorithms where these parameters are estimated using least-squares in a first, pre-processing, step, including subspace identification and multi-step…
We introduce and study the Group Square-Root Lasso (GSRL) method for estimation in high dimensional sparse regression models with group structure. The new estimator minimizes the square root of the residual sum of squares plus a penalty…
We study a linearly transformed particle method for the aggregation equation with smooth or singular interaction forces. For the smooth interaction forces, we provide convergence estimates in $L^1$ and $L^\infty$ norms depending on the…
In many areas of imaging science, it is difficult to measure the phase of linear measurements. As such, one often wishes to reconstruct a signal from intensity measurements, that is, perform phase retrieval. In several applications the…
Projected least squares (PLS) is an intuitive and numerically cheap technique for quantum state tomography. The method first computes the least-squares estimator (or a linear inversion estimator) and then projects the initial estimate onto…
This paper describes several new algorithms for estimating the parameters of a periodic bandlimited signal from samples corrupted by jitter (timing noise) and additive noise. Both classical (non-random) and Bayesian formulations are…
This paper considers the problem of estimating chirp parameters from a noisy mixture of chirps. While a rich body of work exists in this area, challenges remain when extending these techniques to chirps of higher order polynomials. We…
In this paper, we define a concept of signal matched multirate whitening filter bank which provides an optimum coding gain. This is achieved by whitening the outputs, of the analysis filter bank, within as well as across the channels, by…
We derive a parallel sampling algorithm for computational inverse problems that present an unknown linear forcing term and a vector of nonlinear parameters to be recovered. It is assumed that the data is noisy and that the linear part of…
There is a recent surge of interest in developing algorithms for finding sparse solutions of underdetermined systems of linear equations $y = \Phi x$. In many applications, extremely large problem sizes are envisioned, with at least tens of…
We propose a panel ARMA-GARCH model to capture the dynamics of large panel data with $N$ individuals over $T$ time periods. For this model, we provide a two-step estimation procedure to estimate the ARMA parameters and GARCH parameters…
In the present paper we propose a new estimator of entropy based on smooth estimators of quantile density. The consistency and asymptotic distribution of the proposed estimates are obtained. As a consequence, a new test of normality is…
In this paper, we propose two novel p-norm penalty least mean square (Lp-LMS) algorithms as supplements of the conventional Lp-LMS algorithm established for sparse adaptive filtering recently. A gradient comparator is employed to…
In this paper the author proposes to use the Least Squares Lattice filter with forgetting factor to estimate time-varying parameters of the model for noise processes. We simulated an Auto-Regressive (AR) noise process in which we let the…
This manuscript proposes a probabilistic framework for algorithms that iteratively solve unconstrained linear problems $Bx = b$ with positive definite $B$ for $x$. The goal is to replace the point estimates returned by existing methods with…
Partial observations of continuous time-series dynamics at arbitrary time stamps exist in many disciplines. Fitting this type of data using statistical models with continuous dynamics is not only promising at an intuitive level but also has…
Estimating the shape of an elliptical distribution is a fundamental problem in statistics. One estimator for the shape matrix, Tyler's M-estimator, has been shown to have many appealing asymptotic properties. It performs well in numerical…
Many recent problems in signal processing and machine learning such as compressed sensing, image restoration, matrix/tensor recovery, and non-negative matrix factorization can be cast as constrained optimization. Projected gradient descent…
Latent factor GARCH models are difficult to estimate using Bayesian methods because standard Markov chain Monte Carlo samplers produce slowly mixing and inefficient draws from the posterior distributions of the model parameters. This paper…
We present new algorithms for $M$-estimators of multivariate scatter and location and for symmetrized $M$-estimators of multivariate scatter. The new algorithms are considerably faster than currently used fixed-point and related algorithms.…