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At the heart of non-parametric spectral estimation, lies the dilemma known as the bias-variance trade-off: low biased estimators tend to have high variance and low variance estimators tend to have high bias. In 1982, Thomson introduced a…

We obtain estimates for the Mean Squared Error (MSE) for the multitaper spectral estimator and certain compressive acquisition methods for multi-band signals. We confirm a fact discovered by Thomson [Spectrum estimation and harmonic…

Thomson's multitaper method estimates the power spectrum of a signal from $N$ equally spaced samples by averaging $K$ tapered periodograms. Discrete prolate spheroidal sequences (DPSS) are used as tapers since they provide excellent…

This paper establishes optimal convergence rates for estimation of structured covariance operators of Gaussian processes. We study banded operators with kernels that decay rapidly off-the-diagonal and $L^q$-sparse operators with an…

Multitaper estimators have enjoyed significant success in estimating spectral densities from finite samples using as tapers Slepian functions defined on the acquisition domain. Unfortunately, the numerical calculation of these Slepian…

This paper investigates the mean square error optimal estimation of scale invariant Wigner spectrum for the class of Gaussian locally self-similar processes, by the multitaper method. In this method, the spectrum is estimated as a weighted…

Covariance tapering is a popular approach for reducing the computational cost of spatial prediction and parameter estimation for Gaussian process models. However, tapering can have poor performance when the process is sampled at spatially…

Optimal signalling over the Gaussian MIMO wire-tap channel is studied under the total transmit power constraint. A closed-form solution for an optimal transmit covariance matrix is obtained when the channel is strictly degraded. In…

We present an estimator of the covariance matrix $\Sigma$ of random $d$-dimensional vector from an i.i.d. sample of size $n$. Our sole assumption is that this vector satisfies a bounded $L^p-L^2$ moment assumption over its one-dimensional…

Processes with almost periodic covariance functions have spectral mass on lines parallel to the diagonal in the two-dimensional spectral plane. Methods have been given for estimation of spectral mass on the lines of spectral concentration…

Stochastic trajectory optimisation under uncertainty requires robust constraint satisfaction through chance constraints. However, existing transcription methods remain limited to scalar constraints or highly specific structures while…

Covariance parameter estimation of Gaussian processes is analyzed in an asymptotic framework. The spatial sampling is a randomly perturbed regular grid and its deviation from the perfect regular grid is controlled by a single scalar…

Gaussian graphical regression is a powerful means that regresses the precision matrix of a Gaussian graphical model on covariates, permitting the numbers of the response variables and covariates to far exceed the sample size. Model fitting…

We develop a method to estimate the power spectrum of a stochastic process on the sphere from data of limited geographical coverage. Our approach can be interpreted either as estimating the global power spectrum of a stationary process when…

We consider the Gaussian Multiple Access Wire-Tap Channel (GMAC-WT). In this scenario, multiple users communicate with an intended receiver in the presence of an intelligent and informed wire-tapper who receives a degraded version of the…

We consider a graphical model where a multivariate normal vector is associated with each node of the underlying graph and estimate the graphical structure. We minimize a loss function obtained by regressing the vector at each node on those…

We investigate the problem of estimating the structure factor, or spectra, of stationary spatial point processes. In the first part, we establish a minimax lower bound for this estimation problem, using an approach tailored to second-order…

We consider the problem of distributedly estimating Gaussian processes in multi-agent frameworks. Each agent collects few measurements and aims to collaboratively reconstruct a common estimate based on all data. Agents are assumed with…

Complex-valued signals are used in the modeling of many systems in engineering and science, hence being of fundamental interest. Often, random complex-valued signals are considered to be proper. A proper complex random variable or process…

We develop a computational procedure to estimate the covariance hyperparameters for semiparametric Gaussian process regression models with additive noise. Namely, the presented method can be used to efficiently estimate the variance of the…