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The problem of estimating a complex measure made up by a linear combination of Dirac distributions centered on points of the complex plane from a finite number of its complex moments affected by additive i.i.d. Gaussian noise is considered.…
We study the problem of estimating low-rank matrices from linear measurements (a.k.a., matrix sensing) through nonconvex optimization. We propose an efficient stochastic variance reduced gradient descent algorithm to solve a nonconvex…
A class of robust estimators of scatter applied to information-plus-impulsive noise samples is studied, where the sample information matrix is assumed of low rank; this generalizes the study of (Couillet et al., 2013b) to spiked random…
A continuous-time regression model with a jointly strictly sub-Gaussian random noise is considered in the paper. Upper exponential bounds for probabilities of large deviations of the least squares estimator for the regression parameter are…
A popular approach for estimating an unknown signal from noisy, linear measurements is via solving a so called \emph{regularized M-estimator}, which minimizes a weighted combination of a convex loss function and of a convex (typically,…
This paper proposes a highly accurate algorithm to estimate the signal-to-noise ratio (SNR) for a linear system from a single realization of the received signal. We assume that the linear system has a Gaussian matrix with one sided left…
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…
We consider the problem of estimating covariance and precision matrices, and their associated discriminant coefficients, from normal data when the rank of the covariance matrix is strictly smaller than its dimension and the available sample…
This note addresses the question of optimally estimating a linear functional of an object acquired through linear observations corrupted by random noise, where optimality pertains to a worst-case setting tied to a symmetric, convex, and…
The paper deals with the non-parametric estimation in the regression with the multiplicative noise. Using the local polynomial fitting and the bayesian approach, we construct the minimax on isotropic H\"older class estimator. Next applying…
We consider the problem of learning the behavioral preferences of an expert engaged in a task from noisy and partially-observable demonstrations. This is motivated by real-world applications such as a line robot learning from observing a…
We consider the multivariate response regression problem with a regression coefficient matrix of low, unknown rank. In this setting, we analyze a new criterion for selecting the optimal reduced rank. This criterion differs notably from the…
Low-rank matrix estimation under heavy-tailed noise is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs, especially since robust loss…
We present an estimator of the covariance matrix $\Sigma$ of random $d$-dimensional vector from an i.i.d. sample of size $n$. Our sole assumption is that this vector satisfies a bounded $L^p-L^2$ moment assumption over its one-dimensional…
We provide the construction of a set of square matrices whose translates and rotates provide a Parseval frame that is optimal for approximating a given dataset of images. Our approach is based on abstract harmonic analysis techniques.…
We consider a prototypical problem of Bayesian inference for a structured spiked model: a low-rank signal is corrupted by additive noise. While both information-theoretic and algorithmic limits are well understood when the noise is a…
We propose a nonconvex estimator for joint multivariate regression and precision matrix estimation in the high dimensional regime, under sparsity constraints. A gradient descent algorithm with hard thresholding is developed to solve the…
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces the effective dimensionality of the estimation (and hence…
In this paper we consider the trace regression model. Assume that we observe a small set of entries or linear combinations of entries of an unknown matrix $A_0$ corrupted by noise. We propose a new rank penalized estimator of $A_0$. For…
This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT). We introduce several RMT methods and analytical techniques, such as the Replica formalism and Free…