Related papers: Matrix Decomposition-Based Approach to Estimate th…

Machine Learning (ML) and linear System Identification (SI) have been historically developed independently. In this paper, we leverage well-established ML tools - especially the automatic differentiation framework - to introduce SIMBa, a…

An MCMC simulation method based on a two stage delayed rejection Metropolis-Hastings algorithm is proposed to estimate a factor multivariate stochastic volatility model. The first stage uses kstep iteration towards the mode, with k small,…

Atlas-based methods are the standard approaches for automatic targeting of the Anterior Nucleus of the Thalamus (ANT) for Deep Brain Stimulation (DBS), but these are known to lack robustness when anatomic differences between atlases and…

Space-time adaptive processing (STAP) is one of the most effective approaches to suppressing ground clutters in airborne radar systems. It basically takes two forms, i.e., full-dimension STAP (FD-STAP) and reduced-dimension STAP (RD-STAP).…

Markov chain Monte Carlo (MCMC) methods remain the mainstay of Bayesian estimation of structural equation models (SEM), though they often incur a high computational cost. We present a bespoke approximate Bayesian approach to SEM, drawing on…

Detrended fluctuation analysis (DFA) has been proposed as a robust technique to determine possible long-range correlations in power-law processes [1]. However, recent studies have reported the susceptibility of DFA to trends [2] which give…

This paper revisits classical works of Rauch (1963, et al. 1965) and develops a novel method for maximum likelihood (ML) smoothing estimation from incomplete information/data of stochastic state-space systems. Score function and conditional…

Recovering a low-rank signal matrix from its noisy observation, commonly known as matrix denoising, is a fundamental inverse problem in statistical signal processing. Matrix denoising methods are generally based on shrinkage or thresholding…

This work proposes a framework for large-scale stochastic derivative-free optimization (DFO) by introducing STARS, a trust-region method based on iterative minimization in random subspaces. This framework is both an algorithmic and…

State estimation plays a key role in the transition from the passive to the active operation of distribution systems, as it allows to monitor these networks and, successively, to perform control actions. However, designing state estimators…

In this paper, two efficient iterative algorithms based on the simpler GMRES method are proposed for solving shifted linear systems. To make full use of the shifted structure, the proposed algorithms utilizing the deflated restarting…

Fatigue simulation requires accurate modeling of unloading and reloading. However, classical ductile damage models treat deformations after complete failure as irrecoverable -- which leads to unphysical behavior during unloading. This…

Large-scale association analysis between multivariate responses and predictors is of great practical importance, as exemplified by modern business applications including social media marketing and crisis management. Despite the rapid…

Slow feature analysis (SFA), as a method for learning slowly varying features in classification and signal analysis, has attracted increasing attention in recent years. Recent probabilistic extensions to SFA learn effective representations…

The balance between convergence and diversity is a key issue of evolutionary multi-objective optimization. The recently proposed stable matching-based selection provides a new perspective to handle this balance under the framework of…

The concepts of sparsity, and regularised estimation, have proven useful in many high-dimensional statistical applications. Dynamic factor models (DFMs) provide a parsimonious approach to modelling high-dimensional time series, however, it…

Markov state models (MSMs) have been broadly adopted for analyzing molecular dynamics trajectories, but the approximate nature of the models that results from coarse-graining into discrete states is a long-known limitation. We show…

The problem of decomposing a given covariance matrix as the sum of a positive semi-definite matrix of given rank and a positive semi-definite diagonal matrix, is considered. We present a projection-type algorithm to address this problem.…

We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the…

Traditional NMF-based signal decomposition relies on the factorization of spectral data, which is typically computed by means of short-time frequency transform. In this paper we propose to relax the choice of a pre-fixed transform and learn…