相关论文: Concentration of measure bounds for matrix-variate…

Maximum likelihood estimation of Gaussian mixture models with different class-specific covariance matrices is known to be problematic. This is due to the unboundedness of the likelihood, together with the presence of spurious maximizers.…

We consider two examples for a well-known method for obtaining concentration of measure (COM) bounds for a given observable in a given measure. The method is to consider an auxiliary Markov chain for which the invariant distribution is the…

We investigate the asymptotic behavior of the eigenvalues of the sum A+U*BU, where A and B are deterministic N by N Hermitian matrices having respective limiting compactly supported distributions \mu, \nu, and U is a random N by N unitary…

Consider a Bernoulli-Gaussian complex $n$-vector whose components are $V_i = X_i B_i$, with $X_i \sim \Cc\Nc(0,\Pc_x)$ and binary $B_i$ mutually independent and iid across $i$. This random $q$-sparse vector is multiplied by a square random…

Measurement error arises through a variety of mechanisms. A rich literature exists on the bias introduced by covariate measurement error and on methods of analysis to address this bias. By comparison, less attention has been given to errors…

Cumulative sum (CUSUM) statistics are widely used in the change point inference and identification. For the problem of testing for existence of a change point in an independent sample generated from the mean-shift model, we introduce a…

We consider the problem of detecting (testing) Gaussian stochastic sequences (signals) with imprecisely known means and covariance matrices. The alternative is independent identically distributed zero-mean Gaussian random variables with…

In many practical situations we would like to estimate the covariance matrix of a set of variables from an insufficient amount of data. More specifically, if we have a set of $N$ independent, identically distributed measurements of an $M$…

We compute the asymptotic empirical eigenvalue distribution of the matrix $M = \bigodot_{i=1}^k \frac{1}{d_i}X^{(i)}{X^{(i)}}^\top$ where $X^{(i)}\in\mathbb{R}^{n\times d_i}$ are independent matrices with independent rows but general…

The goal of this paper is to obtain expectation bounds for the deviation of large sample autocovariance matrices from their means under weak data dependence. While the accuracy of covariance matrix estimation corresponding to independent…

We consider a binary unsupervised classification problem where each observation is associated with an unobserved label that we want to retrieve. More precisely, we assume that there are two groups of observation: normal and abnormal. The…

Measurement error in the covariate of main interest (e.g. the exposure variable, or the risk factor) is common in epidemiologic and health studies. It can effect the relative risk estimator or other types of coefficients derived from the…

Missing data theory deals with the statistical methods in the occurrence of missing data. Missing data occurs when some values are not stored or observed for variables of interest. However, most of the statistical theory assumes that data…

We study covariance matrix estimation for the case of partially observed random vectors, where different samples contain different subsets of vector coordinates. Each observation is the product of the variable of interest with a $0-1$…

High-dimensional matrix regression has been studied in various aspects, such as statistical properties, computational efficiency and application to specific instances including multivariate regression, system identification and matrix…

We study concentration inequalities for structured weighted sums of random data, including (i) tensor inner products and (ii) sequential matrix sums. We are interested in tail bounds and concentration inequalities for those structured…

Missing data arises when certain values are not recorded or observed for variables of interest. However, most of the statistical theory assume complete data availability. To address incomplete databases, one approach is to fill the gaps…

Covariate measurement error in nonparametric regression is a common problem in nutritional epidemiology and geostatistics, and other fields. Over the last two decades, this problem has received substantial attention in the frequentist…

We consider the detection problem of correlations in a $p$-dimensional Gaussian vector, when we observe $n$ independent, identically distributed random vectors, for $n$ and $p$ large. We assume that the covariance matrix varies in some…

This article is concerned with Monte-Carlo methods for the estimation of the trace of an implicitly given matrix $A$ whose information is only available through matrix-vector products. Such a method approximates the trace by an average of…