5,532 research outputs found
Kronecker Sum Decompositions of Space-Time Data
In this paper we consider the use of the space vs. time Kronecker product
decomposition in the estimation of covariance matrices for spatio-temporal
data. This decomposition imposes lower dimensional structure on the estimated
covariance matrix, thus reducing the number of samples required for estimation.
To allow a smooth tradeoff between the reduction in the number of parameters
(to reduce estimation variance) and the accuracy of the covariance
approximation (affecting estimation bias), we introduce a diagonally loaded
modification of the sum of kronecker products representation [1]. We derive a
Cramer-Rao bound (CRB) on the minimum attainable mean squared predictor
coefficient estimation error for unbiased estimators of Kronecker structured
covariance matrices. We illustrate the accuracy of the diagonally loaded
Kronecker sum decomposition by applying it to video data of human activity.Comment: 5 pages, 8 figures, accepted to CAMSAP 201
Channel Covariance Matrix Estimation via Dimension Reduction for Hybrid MIMO MmWave Communication Systems
Hybrid massive MIMO structures with lower hardware complexity and power
consumption have been considered as a potential candidate for millimeter wave
(mmWave) communications. Channel covariance information can be used for
designing transmitter precoders, receiver combiners, channel estimators, etc.
However, hybrid structures allow only a lower-dimensional signal to be
observed, which adds difficulties for channel covariance matrix estimation. In
this paper, we formulate the channel covariance estimation as a structured
low-rank matrix sensing problem via Kronecker product expansion and use a
low-complexity algorithm to solve this problem. Numerical results with uniform
linear arrays (ULA) and uniform squared planar arrays (USPA) are provided to
demonstrate the effectiveness of our proposed method
Online Change Detection in SAR Time-Series with Kronecker Product Structured Scaled Gaussian Models
We develop the information geometry of scaled Gaussian distributions for
which the covariance matrix exhibits a Kronecker product structure. This model
and its geometry are then used to propose an online change detection (CD)
algorithm for multivariate image times series (MITS). The proposed approach
relies mainly on the online estimation of the structured covariance matrix
under the null hypothesis, which is performed through a recursive (natural)
Riemannian gradient descent. This approach exhibits a practical interest
compared to the corresponding offline version, as its computational cost
remains constant for each new image added in the time series. Simulations show
that the proposed recursive estimators reach the Intrinsic Cram\'er-Rao bound.
The interest of the proposed online CD approach is demonstrated on both
simulated and real data
Foundational principles for large scale inference: Illustrations through correlation mining
When can reliable inference be drawn in the "Big Data" context? This paper
presents a framework for answering this fundamental question in the context of
correlation mining, with implications for general large scale inference. In
large scale data applications like genomics, connectomics, and eco-informatics
the dataset is often variable-rich but sample-starved: a regime where the
number of acquired samples (statistical replicates) is far fewer than the
number of observed variables (genes, neurons, voxels, or chemical
constituents). Much of recent work has focused on understanding the
computational complexity of proposed methods for "Big Data." Sample complexity
however has received relatively less attention, especially in the setting when
the sample size is fixed, and the dimension grows without bound. To
address this gap, we develop a unified statistical framework that explicitly
quantifies the sample complexity of various inferential tasks. Sampling regimes
can be divided into several categories: 1) the classical asymptotic regime
where the variable dimension is fixed and the sample size goes to infinity; 2)
the mixed asymptotic regime where both variable dimension and sample size go to
infinity at comparable rates; 3) the purely high dimensional asymptotic regime
where the variable dimension goes to infinity and the sample size is fixed.
Each regime has its niche but only the latter regime applies to exa-scale data
dimension. We illustrate this high dimensional framework for the problem of
correlation mining, where it is the matrix of pairwise and partial correlations
among the variables that are of interest. We demonstrate various regimes of
correlation mining based on the unifying perspective of high dimensional
learning rates and sample complexity for different structured covariance models
and different inference tasks
Tensor Graphical Lasso (TeraLasso)
This paper introduces a multi-way tensor generalization of the Bigraphical
Lasso (BiGLasso), which uses a two-way sparse Kronecker-sum multivariate-normal
model for the precision matrix to parsimoniously model conditional dependence
relationships of matrix-variate data based on the Cartesian product of graphs.
We call this generalization the {\bf Te}nsor g{\bf ra}phical Lasso (TeraLasso).
We demonstrate using theory and examples that the TeraLasso model can be
accurately and scalably estimated from very limited data samples of high
dimensional variables with multiway coordinates such as space, time and
replicates. Statistical consistency and statistical rates of convergence are
established for both the BiGLasso and TeraLasso estimators of the precision
matrix and estimators of its support (non-sparsity) set, respectively. We
propose a scalable composite gradient descent algorithm and analyze the
computational convergence rate, showing that the composite gradient descent
algorithm is guaranteed to converge at a geometric rate to the global minimizer
of the TeraLasso objective function. Finally, we illustrate the TeraLasso using
both simulation and experimental data from a meteorological dataset, showing
that we can accurately estimate precision matrices and recover meaningful
conditional dependency graphs from high dimensional complex datasets.Comment: accepted to JRSS-
A three domain covariance framework for EEG/MEG data
In this paper we introduce a covariance framework for the analysis of EEG and
MEG data that takes into account observed temporal stationarity on small time
scales and trial-to-trial variations. We formulate a model for the covariance
matrix, which is a Kronecker product of three components that correspond to
space, time and epochs/trials, and consider maximum likelihood estimation of
the unknown parameter values. An iterative algorithm that finds approximations
of the maximum likelihood estimates is proposed. We perform a simulation study
to assess the performance of the estimator and investigate the influence of
different assumptions about the covariance factors on the estimated covariance
matrix and on its components. Apart from that, we illustrate our method on real
EEG and MEG data sets.
The proposed covariance model is applicable in a variety of cases where
spontaneous EEG or MEG acts as source of noise and realistic noise covariance
estimates are needed for accurate dipole localization, such as in evoked
activity studies, or where the properties of spontaneous EEG or MEG are
themselves the topic of interest, such as in combined EEG/fMRI experiments in
which the correlation between EEG and fMRI signals is investigated.Comment: 25 pages, 8 figures, 1 tabl
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