相关论文: Regularized Block Toeplitz Covariance Matrix Estim…

In climate and atmospheric research, many phenomena involve more than one meteorological spatial processes covarying in space. To understand how one process is affected by another, maximum covariance analysis (MCA) is commonly applied.…

We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are It\^o semimartingales with jumps. The coefficient paths are…

We discuss a modification to Random Matrix Theory eigenstate statistics, that systematically takes into account the non-universal short-time behavior of chaotic systems. The method avoids diagonalization of the Hamiltonian, instead…

In covariance matrix estimation, one of the challenges lies in finding a suitable model and an efficient estimation method. Two commonly used modelling approaches in the literature involve imposing linear restrictions on the covariance…

This paper studies the problem of Kronecker-structured sparse vector recovery from an underdetermined linear system with a Kronecker-structured dictionary. Such a problem arises in many real-world applications such as the sparse channel…

When a covariance matrix with a Toeplitz structure is written as the sum of a singular one and a positive scalar multiple of the identity, the singular summand corresponds to the covariance of a purely deterministic component of a…

Describing the dimension reduction (DR) techniques by means of probabilistic models has recently been given special attention. Probabilistic models, in addition to a better interpretability of the DR methods, provide a framework for further…

We consider the problem of joint estimation of structured covariance matrices. Assuming the structure is unknown, estimation is achieved using heterogeneous training sets. Namely, given groups of measurements coming from centered…

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…

We present a preconditioned Monte Carlo method for computing high-dimensional multivariate normal and Student-$t$ probabilities arising in spatial statistics. The approach combines a tile-low-rank representation of covariance matrices with…

Recent theory of mapping an image into a structured low-rank Toeplitz or Hankel matrix has become an effective method to restore images. In this paper, we introduce a generalized structured low-rank algorithm to recover images from their…

The performance of space-time adaptive processing (STAP) is often degraded by factors such as limited sample size and moving targets. Traditional clutter covariance matrix (CCM) estimation relies on Euclidean metrics, which fail to capture…

This paper aims to present the first Frequentist framework on signal region detection in high-resolution and high-order image regression problems. Image data and scalar-on-image regression are intensively studied in recent years. However,…

This paper develops a distributed model predictive control (DMPC) strategy for a class of discrete-time linear systems with consideration of globally coupled constraints. The DMPC under study is based on the dual problem concerning all…

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…

Sparse principal component analysis (sparse PCA) is a widely used technique for dimensionality reduction in multivariate analysis, addressing two key limitations of standard PCA. First, sparse PCA can be implemented in high-dimensional low…

Classical methods such as Principal Component Analysis (PCA) and Canonical Correlation Analysis (CCA) are ubiquitous in statistics. However, these techniques are only able to reveal linear relationships in data. Although nonlinear variants…

Over the past years Robust PCA has been established as a standard tool for reliable low-rank approximation of matrices in the presence of outliers. Recently, the Robust PCA approach via nuclear norm minimization has been extended to…

Distributed principal component analysis (PCA) produces node-level estimates of both a mean vector and a principal subspace. Robustly aggregating these heterogeneous objects requires a relative scale between mean error and subspace error.…

We present a control-variate method for reducing the variance of power spectrum covariance matrix estimates from simulations of large-scale structure. The key idea is to pair each mock simulation with a cheap Zeldovich-approximation…