Related papers: A Matrix-Variate Log-Normal Model for Covariance M…
During the last two decades, locally stationary processes have been widely studied in the time series literature. In this paper we consider the locally-stationary vector-auto-regression model of order one, or LS-VAR(1), and estimate its…
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 develop an estimator for the high-dimensional covariance matrix of a locally stationary process with a smoothly varying trend and use this statistic to derive consistent predictors in non-stationary time series. In contrast to the…
Covariance estimation becomes challenging in the regime where the number p of variables outstrips the number n of samples available to construct the estimate. One way to circumvent this problem is to assume that the covariance matrix is…
Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation for a wide family of metrics. The method is shown to…
In this paper we propose a framework to analyze iterative first-order optimization algorithms for time-varying convex optimization. We assume that the temporal variability is caused by a time-varying parameter entering the objective, which…
Kronecker product covariance structure provides an efficient way to modeling the inter-correlations of matrix-variate data. In this paper, we propose testing statistics for Kronecker product covariance matrix based on linear spectral…
Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable…
Modern datasets are often in the form of matrices or arrays,potentially having correlations along each set of data indices. For example, data involving repeated measurements of several variables over time may exhibit temporal correlation as…
We consider the estimation of the transition matrix in the high-dimensional time-varying vector autoregression (TV-VAR) models. Our model builds on a general class of locally stationary VAR processes that evolve smoothly in time. We propose…
We derive a maximum a posteriori estimator for the linear observation model, where the signal and noise covariance matrices are both uncertain. The uncertainties are treated probabilistically by modeling the covariance matrices with prior…
Matrix-variate distributions can intuitively model the dependence structure of matrix-valued observations that arise in applications with multivariate time series, spatio-temporal or repeated measures. This paper develops an…
Distributional approximations of (bi--) linear functions of sample variance-covariance matrices play a critical role to analyze vector time series, as they are needed for various purposes, especially to draw inference on the dependence…
Long-run covariance matrix estimation is the building block of time series inference. The corresponding difference-based estimator, which avoids detrending, has attracted considerable interest due to its robustness to both smooth and abrupt…
Estimating the unconstrained mean and covariance matrix is a popular topic in statistics. However, estimation of the parameters of $N_p(\mu,\Sigma)$ under joint constraints such as $\Sigma\mu = \mu$ has not received much attention. It can…
High dimensional covariance estimation and graphical models is a contemporary topic in statistics and machine learning having widespread applications. An important line of research in this regard is to shrink the extreme spectrum of the…
We consider the problem of learning error covariance matrices for robotic state estimation. The convergence of a state estimator to the correct belief over the robot state is dependent on the proper tuning of noise models. During inference,…
We look at a stochastic time-varying optimization problem and we formulate online algorithms to find and track its optimizers in expectation. The algorithms are derived from the intuition that standard prediction and correction steps can be…
This paper considers regularizing a covariance matrix of $p$ variables estimated from $n$ observations, by hard thresholding. We show that the thresholded estimate is consistent in the operator norm as long as the true covariance matrix is…
We consider the problem of predicting the covariance of a zero mean Gaussian vector, based on another feature vector. We describe a covariance predictor that has the form of a generalized linear model, i.e., an affine function of the…