相关论文: Radar Clutter Covariance Estimation: A Nonlinear S…

Linear shrinkage estimators of a covariance matrix --- defined by a weighted average of the sample covariance matrix and a pre-specified shrinkage target matrix --- are popular when analysing high-throughput molecular data. However, their…

Model error covariances play a central role in the performance of data assimilation methods applied to nonlinear state-space models. However, these covariances are largely unknown in most of the applications. A misspecification of the model…

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…

In this paper, we perform a comprehensive study of different covariance and precision matrix estimation methods in the context of minimum variance portfolio allocation. The set of models studied by us can be broadly categorized as: Gaussian…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…

The comovement phenomenon in financial markets creates decision scenarios with positively correlated asset returns. This paper addresses covariance matrix estimation under such conditions, motivated by observations of significant positive…

A cognitive fully adaptive radar (CoFAR) adapts its behavior on its own within a short period of time in response to changes in the target environment. For the CoFAR to function properly, it is critical to understand its operating…

We propose a prox-regular-type low-rank constrained nonconvex nonsmooth optimization model for Robust Low-Rank Matrix Recovery (RLRMR), i.e., estimate problem of low-rank matrix from an observed signal corrupted by outliers. For RLRMR, the…

This paper investigates the convergence properties of spectral algorithms -- a class of regularization methods originating from inverse problems -- under covariate shift. In this setting, the marginal distributions of inputs differ between…

This paper examines the problem of estimating the parameters of a bandlimited signal from samples corrupted by random jitter (timing noise) and additive iid Gaussian noise, where the signal lies in the span of a finite basis. For the…

Covariance matrix estimation is one of the most important problems in statistics. To accommodate the complexity of modern datasets, it is desired to have estimation procedures that not only can incorporate the structural assumptions of…

Adaptive algorithms based on in-network processing over networks are useful for online parameter estimation of historical data (e.g., noise covariance) in predictive control and machine learning areas. This paper focuses on the distributed…

Noisy matrix completion has attracted significant attention due to its applications in recommendation systems, signal processing and image restoration. Most existing works rely on (weighted) least squares methods under various low-rank…

This paper proposes an improved linear discriminant analysis called spectrally-corrected and regularized LDA (SRLDA). This method integrates the design ideas of the sample spectrally-corrected covariance matrix and the regularized…

Spectral methods are widely used to estimate eigenvectors of a low-rank signal matrix subject to noise. These methods use the leading eigenspace of an observed matrix to estimate this low-rank signal. Typically, the entrywise estimation…

A highly popular regularized (shrinkage) covariance matrix estimator is the shrinkage sample covariance matrix (SCM) which shares the same set of eigenvectors as the SCM but shrinks its eigenvalues toward the grand mean of the eigenvalues…

We propose a calibrated multivariate regression method named CMR for fitting high dimensional multivariate regression models. Compared with existing methods, CMR calibrates regularization for each regression task with respect to its noise…

Efficient clutter filtering for pulsed radar systems remains an open issue when employing pulse-to-pulse modulation and irregular pulse interval waveforms within the coherent processing interval. The range and Doppler domain should be…

It is well known that kernel ridge regression (KRR) is a popular nonparametric regression estimator. Nonetheless, in the presence of a large data set with size $n\gg 1,$ the KRR estimator has the drawback to require an intensive…

Recent work has generalized several results concerning the well-understood spiked Wigner matrix model of a low-rank signal matrix corrupted by additive i.i.d. Gaussian noise to the inhomogeneous case, where the noise has a variance profile.…