Related papers: Efficient nonparametric estimation of Toeplitz cov…
This paper proposes a super-resolution harmonic retrieval method for uncorrelated strictly non-circular signals, whose covariance and pseudo-covariance present Toeplitz and Hankel structures, respectively. Accordingly, the augmented…
A positive semidefinite Toeplitz matrix, which often arises as the finite covariance matrix of a stationary random process, can be decomposed as the sum of a nonnegative multiple of the identity corresponding to a white noise, and a…
We propose a new estimator for the high-dimensional linear regression model with observation error in the design where the number of coefficients is potentially larger than the sample size. The main novelty of our procedure is that the…
We present a sublinear time algorithm for computing a near optimal low-rank approximation to any positive semidefinite (PSD) Toeplitz matrix $T\in \mathbb{R}^{d\times d}$, given noisy access to its entries. In particular, given entrywise…
Multivariate Gaussian is often used as a first approximation to the distribution of high-dimensional data. Determining the parameters of this distribution under various constraints is a widely studied problem in statistics, and is often…
This paper proposes a set of piecewise Toeplitz matrices as the linear mapping/sensing operator $\mathcal{A}: \mathbf{R}^{n_1 \times n_2} \rightarrow \mathbf{R}^M$ for recovering low rank matrices from few measurements. We prove that such…
We consider a data matrix $X:=C_N^{1/2}ZR_M^{1/2}$ from a multivariate stationary process with a separable covariance function, where $C_N$ is a $N\times N$ positive semi-definite matrix, $Z$ a $N\times M$ random matrix of uncorrelated…
Estimation of a precision matrix (i.e., inverse covariance matrix) is widely used to exploit conditional independence among continuous variables. The influence of abnormal observations is exacerbated in a high dimensional setting as the…
This papers presents a generalization of the Weitzman overlapping coefficient, originally defined for two probability density functions, to a setting involving k independent distributions, denoted by Delta. To estimate this generalized…
We present a sublinear query algorithm for outputting a near-optimal low-rank approximation to any positive semidefinite Toeplitz matrix $T \in \mathbb{R}^{d \times d}$. In particular, for any integer rank $k \leq d$ and $\epsilon,\delta >…
We estimate the norms of standard Gaussian random Toeplitz and circulant matrices and their inverses, mostly by means of combining some basic techniques of linear algebra. In the case of circulant matrices we obtain sharp probabilistic…
We propose communication-efficient distributed estimation and inference methods for the transelliptical graphical model, a semiparametric extension of the elliptical distribution in the high dimensional regime. In detail, the proposed…
Compositional data, representing proportions constrained to the simplex, arise in diverse fields such as geosciences, ecology, genomics, and microbiome research. Existing nonparametric density estimation methods often rely on…
In this paper we derive a Toeplitz-structured closed form of the unique positive semi-definite stabilizing solution for the discrete-time algebraic Riccati equations, especially for the case that the state matrix is not stable. Based on the…
The density function of the limiting spectral distribution of general sample covariance matrices is usually unknown. We propose to use kernel estimators which are proved to be consistent. A simulation study is also conducted to show the…
Analyzing large samples of high-dimensional data under dependence is a challenging statistical problem as long time series may have change points, most importantly in the mean and the marginal covariances, for which one needs valid tests.…
This note demonstrates that we can stably recover all symmetric Toeplitz matrices $\pmb{X}_0\in\mathbb{R}^{n\times n}$ of rank at most $r$ from a number of rank-one subgaussian measurements on the order of $r\log^{2} n$ with an…
Toeplitz matrices arise naturally in harmonic analysis, operator theory, and numerical analysis. In this note we investigate Toeplitz matrices whose coefficients depend on the matrix size through a scaled kernel $a_k=f(k/n)$. We show that…
Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension is large compared to the sample size, which happens frequently, the sample covariance matrix is known to perform poorly…
It has been proposed that complex populations, such as those that arise in genomics studies, may exhibit dependencies among observations as well as among variables. This gives rise to the challenging problem of analyzing unreplicated…