In practice most functional data cannot be recorded on a continuum, but rather at discrete time points. It is also quite common that these measurements come with an additive error, which one would like eliminate for the statistical analysis. When the measurements for each functional datum are taken on the same grid, the underlying signal-plus-noise model can be viewed as a factor model. The signals refer to the common components of the factor model, the noise is related to the idiosyncratic components. We formulate a framework which allows to consistently recover the signal by a PCA based factor model estimation scheme. Our theoretical results hold under rather mild conditions, in particular we don't require specific smoothness assumptions for the underlying curves and allow for a certain degree of autocorrelation in the noise.
Generative neural networks (GNNs) have gained renown for efficaciously capturing intrinsic low-dimensional structure in natural images. Here, we investigate the subgaussian demixing problem for two Lipschitz signals, with GNN demixing as a special case. In demixing, one seeks identification of two signals given their sum and prior structural information. Here, we assume each signal lies in the range of a Lipschitz function, which includes many popular GNNs as a special case. We prove a sample complexity bound for nearly optimal recovery error that extends a recent result of Bora, et al. (2017)…
The problem of consistently estimating the sparsity pattern of a vector $\betastar \in \real^\mdim$ based on observations contaminated by noise arises in various contexts, including subset selection in regression, structure estimation in graphical models, sparse approximation, and signal denoising. We analyze the behavior of $\ell_1$-constrained quadratic programming (QP), also referred to as the Lasso, for recovering the sparsity pattern. Our main result is to establish a sharp relation between the problem dimension $\mdim$, the number $\spindex$ of non-zero elements in $\betastar$, and the n…
We study the problem of consistently recovering the sparsity pattern of a regression parameter vector from correlated observations governed by deterministic missing data patterns using Lasso. We consider the case in which the observed dataset is censored by a deterministic, non-uniform filter. Recovering the sparsity pattern in datasets with deterministic missing structure can be arguably more challenging than recovering in a uniformly-at-random scenario. In this paper, we propose an efficient algorithm for missing value imputation by utilizing the topological property of the censorship filter…
We consider the problem of estimating convex boundaries from blurred and noisy observations. In our model, the convolution of an intensity function $f$ is observed with additive Gaussian white noise. The function $f$ is assumed to have convex support $G$ whose boundary is to be recovered. Rather than directly estimating the intensity function, we develop a procedure which is based on estimating the support function of the set $G$. This approach is closely related to the method of geometric hyperplane probing, a well-known technique in computer vision applications. We establish bounds that reve…
Matrix completion and quantum tomography are two unrelated research areas with great current interest in many modern scientific studies. This paper investigates the statistical relationship between trace regression in matrix completion and quantum state tomography in quantum physics and quantum information science. As quantum state tomography and trace regression share the common goal of recovering an unknown matrix, it is nature to put them in the Le Cam paradigm for statistical comparison. Regarding the two types of matrix inference problems as two statistical experiments, we establish their…
The problem of recovering the sparsity pattern of a fixed but unknown vector $β^* \in \real^p based on a set of $n$ noisy observations arises in a variety of settings, including subset selection in regression, graphical model selection, signal denoising, compressive sensing, and constructive approximation. Of interest are conditions on the model dimension $p$, the sparsity index $s$ (number of non-zero entries in $β^*$), and the number of observations $n$ that are necessary and/or sufficient to ensure asymptotically perfect recovery of the sparsity pattern. This paper focuses on the informatio…
We consider the problems of detection and localization of a contiguous block of weak activation in a large matrix, from a small number of noisy, possibly adaptive, compressive (linear) measurements. This is closely related to the problem of compressed sensing, where the task is to estimate a sparse vector using a small number of linear measurements. Contrary to results in compressed sensing, where it has been shown that neither adaptivity nor contiguous structure help much, we show that for reliable localization the magnitude of the weakest signals is strongly influenced by both structure and …
In this paper, we investigate the recovery of a sparse weight vector (parameters vector) from a set of noisy linear combinations. However, only partial information about the matrix representing the linear combinations is available. Assuming a low-rank structure for the matrix, one natural solution would be to first apply a matrix completion on the data, and then to solve the resulting compressed sensing problem. In big data applications such as massive MIMO and medical data, the matrix completion step imposes a huge computational burden. Here, we propose to reduce the computational cost of the…
In signal processing, several applications involve the recovery of a function given noisy modulo samples. The setting considered in this paper is that the samples corrupted by an additive Gaussian noise are wrapped due to the modulo operation. Typical examples of this problem arise in phase unwrapping problems or in the context of self-reset analog to digital converters. We consider a fixed design setting where the modulo samples are given on a regular grid. Then, a three stage recovery strategy is proposed to recover the ground truth signal up to a global integer shift. The first stage denois…
In this paper, we consider the problem of recovering a sparse signal from noisy linear measurements using the so called LASSO formulation. We assume a correlated Gaussian design matrix with additive Gaussian noise. We precisely analyze the high dimensional asymptotic performance of the LASSO under correlated design matrices using the Convex Gaussian Min-max Theorem (CGMT). We define appropriate performance measures such as the mean-square error (MSE), probability of support recovery, element error rate (EER) and cosine similarity. Numerical simulations are presented to validate the derived the…
Guangdong University of Technology（广东工业大学）；RIKEN（理化学研究所）
Tensor completion is a fundamental tool for incomplete data analysis, where the goal is to predict missing entries from partial observations. However, existing methods often make the explicit or implicit assumption that the observed entries are noise-free to provide a theoretical guarantee of exact recovery of missing entries, which is quite restrictive in practice. To remedy such drawbacks, this paper proposes a novel noisy tensor completion model, which complements the incompetence of existing works in handling the degeneration of high-order and noisy observations. Specifically, the tensor r…
Recent breakthrough results in compressive sensing (CS) have established that many high dimensional signals can be accurately recovered from a relatively small number of non-adaptive linear observations, provided that the signals possess a sparse representation in some basis. Subsequent efforts have shown that the performance of CS can be improved by exploiting additional structure in the locations of the nonzero signal coefficients during inference, or by utilizing some form of data-dependent adaptive measurement focusing during the sensing process. To our knowledge, our own previous work was…
University of Chicago（芝加哥大学）；Toyota Technological Institute at Chicago（芝加哥丰田技术研究院）
We consider the problem of recovering a low-rank tensor from its noisy observation. Previous work has shown a recovery guarantee with signal to noise ratio $O(n^{\lceil K/2 \rceil /2})$ for recovering a $K$th order rank one tensor of size $n\times \cdots \times n$ by recursive unfolding. In this paper, we first improve this bound to $O(n^{K/4})$ by a much simpler approach, but with a more careful analysis. Then we propose a new norm called the subspace norm, which is based on the Kronecker products of factors obtained by the proposed simple estimator. The imposed Kronecker structure allows us …
An increasing number of applications is concerned with recovering a sparse matrix from noisy observations. In this paper, we consider the setting where each row of the unknown matrix is sparse. We establish minimax optimal rates of convergence for estimating matrices with row sparsity. A major focus in the present paper is on the derivation of lower bounds.
We consider the problem of recovering an unknown vector from noisy data with the help of projection estimates. The goal is to find a convex combination of these estimates with the minimal risk. We study an aggregation method based on the so-called exponential weighting and provide a new upper bound for the mean square risk of this method.
This paper focuses on recovering an unknown vector $β$ from the noisy data $Y=Xβ+σξ$, where $X$ is a known $n\times p$-matrix, $ξ$ is a standard white Gaussian noise, and $σ$ is an unknown noise level. In order to estimate $β$, a spectral regularization method is used, and our goal is to choose its regularization parameter with the help of the data $Y$. In this paper, we deal solely with regularization methods based on the so-called ordered smoothers and provide some oracle inequalities in the case, where the noise level is unknown.
For $M$ a simple surface, the non-linear statistical inverse problem of recovering a matrix field $Φ: M \to \mathfrak{so}(n)$ from discrete, noisy measurements of the $SO(n)$-valued scattering data $C_Φ$ of a solution of a matrix ODE is considered ($n\geq 2$). Injectivity of the map $Φ\mapsto C_Φ$ was established by [Paternain, Salo, Uhlmann; Geom.Funct.Anal. 2012]. A statistical algorithm for the solution of this inverse problem based on Gaussian process priors is proposed, and it is shown how it can be implemented by infinite-dimensional MCMC methods. It is further shown that as the number $…
With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed asset returns contain error or noise, for example, in the form of microstructure noise. The former (consistency) has been addressed heavily in the recent literature, however, the resulting estimator is not quite efficient. In Zhang, Mykland and Ait-Sahalia (2003), the best estimator converges to the true volatility only at the rate of n^{-1/6}. In this paper, …
This paper considers the problem of recovering the permutation of an n-dimensional random vector X observed in Gaussian noise. First, a general expression for the probability of error is derived when a linear decoder (i.e., linear estimator followed by a sorting operation) is used. The derived expression holds with minimal assumptions on the distribution of X and when the noise has memory. Second, for the case of isotropic noise (i.e., noise with a diagonal scalar covariance matrix), the rates of convergence of the probability of error are characterized in the high and low noise regimes. In th…
