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This paper studies a distributed state estimation problem for both continuous- and discrete-time linear systems. A simply structured distributed estimator (comprising interconnected local estimators) is first described for estimating the…
In this article, we introduce a novel non-parametric predictor, based on conditional expectation, for the unknown diffusion coefficient function $\sigma$ in the stochastic partial differential equation $Lu = \sigma(u)\dot{W}$, where $L$ is…
We give the first polynomial-time, polynomial-sample, differentially private estimator for the mean and covariance of an arbitrary Gaussian distribution $\mathcal{N}(\mu,\Sigma)$ in $\mathbb{R}^d$. All previous estimators are either…
The Lippmann-Schwinger equation is an integral equation formulation for acoustic and electromagnetic scattering from an inhomogeneous media and quantum scattering from a localized potential. We present the sparsifying preconditioner for…
We consider nonlinear drift-diffusion equations (both porous medium equations and fast diffusion equations) with a measure-valued external force. We establish existence of nonnegative weak solutions satisfying gradient estimates, provided…
One of the key ingredients to successfully apply Stein's method for distributional approximation are solutions to the Stein equations and their derivatives. Using Barbour's generator approach, one can solve for the solutions to the Stein…
Fractional nonlinear differential equations present an interplay between two common and important effective descriptions used to simplify high dimensional or more complicated theories: nonlinearity and fractional derivatives. These…
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…
The author uses a Stein-type covariance identity to obtain moment estimators for the parameters of the quadratic polynomial subfamily of Pearson distributions. The asymptotic distribution of the estimators is obtained, and normality and…
We introduce a new class of nonparametric prior distributions on the space of continuously varying densities, induced by Dirichlet process mixtures which diffuse in time. These select time-indexed random functions without jumps, whose…
Statistical properties of the pair dispersion of Lagrangian particles (tracers) in incompressible turbulent flows provide insights into transport and mixing. We explore the same in transonic to supersonic compressible turbulence of an…
Score-based diffusion generative models have recently emerged as a powerful tool for modelling complex data distributions. These models aim at learning the score function, which defines a map from a known probability distribution to the…
We propose a nonparametric estimator of multivariate joint entropy based on partitioned sample spacing (PSS). The method extends univariate spacing ideas to $\mathbb{R}^{d}$ by partitioning into localized cells and aggregating within-cell…
Previous studies of streamer discharge branching mechanisms have mainly been generative other than predictive. To predict or even control branching, a reliable connection between experimental conditions and streamer branching needs to be…
We propose a method for extending the technique of equilibrium propagation for estimating gradients in fixed-point neural networks to the more general setting of directed, time-varying neural networks by modeling them as electrical…
We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…
Sparse inversion and classification problems are ubiquitous in modern data science and imaging. They are often formulated as non-smooth minimisation problems. In sparse inversion, we minimise, e.g., the sum of a data fidelity term and an…
This paper presents a practical and simple fully nonparametric multivariate smoothing procedure that adapts to the underlying smoothness of the true regression function. Our estimator is easily computed by successive application of existing…
In this paper we consider the unique nonnegative solution to the following generalized version of the stochastic differential equation for a continuous-state branching process. \beqnn X_t \ar=\ar x+\int_0^t\gamma_0(X_s)\dd…
This paper deals with the problem of outliers in high frequency observation data from diffusion processes. Robust estimation methods are needed because the inclusion of outliers can lead to incorrect statistical inference even in the…