相关论文: Absolute Eigenvalues-Based Covariance Matrix Estim…

Covariance estimation for high-dimensional datasets is a fundamental problem in modern day statistics with numerous applications. In these high dimensional datasets, the number of variables p is typically larger than the sample size n. A…

Sparse linear arrays, such as co-prime arrays and nested arrays, have the attractive capability of providing enhanced degrees of freedom. By exploiting the coarray structure, an augmented sample covariance matrix can be constructed and…

We study the accuracy of estimating the covariance and the precision matrix of a $D$-variate sub-Gaussian distribution along a prescribed subspace or direction using the finite sample covariance. Our results show that the estimation…

We consider the problem of estimating high-dimensional covariance matrices of $K$-populations or classes in the setting where the sample sizes are comparable to the data dimension. We propose estimating each class covariance matrix as a…

Sparse arrays enable resolving more direction of arrivals (DoAs) than antenna elements using non-uniform arrays. This is typically achieved by reconstructing the covariance of a virtual large uniform linear array (ULA), which is then…

Smoothing of noisy sample covariances is an important component in functional data analysis. We propose a novel covariance smoothing method based on penalized splines and associated software. The proposed method is a bivariate spline…

Many data-analysis problems involve large dense matrices that describe the covariance of stationary noise processes; the computational cost of inverting these matrices, or equivalently of solving linear systems that contain them, is often a…

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 $0-1$…

Modern technologies are producing a wealth of data with complex structures. For instance, in two-dimensional digital imaging, flow cytometry, and electroencephalography, matrix type covariates frequently arise when measurements are obtained…

In the realm of high-dimensional data analysis, the estimation of covariance matrices is a fundamental task, and this holds true for interval-valued data as well. However, there is no unified definition for the covariance matrix of…

"Toeplitzification" or "redundancy (spatial) averaging", the well-known routine for deriving the Toeplitz covariance matrix estimate from the standard sample covariance matrix, recently regained new attention due to the important Random…

The radio astronomy community is currently building a number of phased array telescopes. The calibration of these telescopes is hampered by the fact that covariances of signals from closely spaced antennas are sensitive to noise coupling…

Image segmentation is an inherently ill-posed problem and thus requires regularization in order to limit the search space to reasonable solutions. A majority of segmentation methods integrates these regularization terms in one way or the…

This paper provides a comprehensive estimation framework for large covariance matrices via a log-det heuristics augmented by a nuclear norm plus $\ell_{1}$-norm penalty. We develop the model framework, which includes high-dimensional…

The asymptotic variance of the maximum likelihood estimate is proved to decrease when the maximization is restricted to a subspace that contains the true parameter value. Maximum likelihood estimation allows a systematic fitting of…

In this paper, we propose new accelerated update rules for rank-constrained spatial covariance model estimation, which efficiently extracts a directional target source in diffuse background noise.The naive updat e rule requires heavy…

Deep stereo matching has made significant progress in recent years. However, state-of-the-art methods are based on expensive 4D cost volume, which limits their use in real-world applications. To address this issue, 3D correlation maps and…

Many popular statistical models, such as factor and random effects models, give arise a certain type of covariance structures that is a summation of low rank and sparse matrices. This paper introduces a penalized approximation framework to…

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…

Signal detection in colored noise with an unknown covariance matrix has a myriad of applications in diverse scientific/engineering fields. The test statistic is the largest generalized eigenvalue (l.g.e.) of the whitened sample covariance…