764,065 research outputs found
Asymptotic Theory for Clustered Samples
We provide a complete asymptotic distribution theory for clustered data with
a large number of independent groups, generalizing the classic laws of large
numbers, uniform laws, central limit theory, and clustered covariance matrix
estimation. Our theory allows for clustered observations with heterogeneous and
unbounded cluster sizes. Our conditions cleanly nest the classical results for
i.n.i.d. observations, in the sense that our conditions specialize to the
classical conditions under independent sampling. We use this theory to develop
a full asymptotic distribution theory for estimation based on linear
least-squares, 2SLS, nonlinear MLE, and nonlinear GMM
Reduced-dimension linear transform coding of distributed correlated signals with incomplete observations
We study the problem of optimal reduced-dimension linear transform coding and reconstruction of a signal based on distributed correlated observations of the signal. In the mean square estimation context this involves finding he optimal signal representation based on multiple incomplete or only partial observations that are correlated. In particular this leads to the study of finding the optimal Karhunen-Loeve basis based on the censored observations. The problem has been considered previously by Gestpar, Dragotti and Vitterli in the context of jointly Gaussian random variables based on using conditional covariances. In this paper, we derive the estimation results in the more general setting of second-order random variables with arbitrary distributions, using entirely different techniques based on the idea of innovations. We explicitly solve the single transform coder case, give a characterization of optimality in the multiple distributed transform coders scenario and provide additional insights into the structure of the problm
High-dimensional estimation with geometric constraints
Consider measuring an n-dimensional vector x through the inner product with
several measurement vectors, a_1, a_2, ..., a_m. It is common in both signal
processing and statistics to assume the linear response model y_i = +
e_i, where e_i is a noise term. However, in practice the precise relationship
between the signal x and the observations y_i may not follow the linear model,
and in some cases it may not even be known. To address this challenge, in this
paper we propose a general model where it is only assumed that each observation
y_i may depend on a_i only through . We do not assume that the
dependence is known. This is a form of the semiparametric single index model,
and it includes the linear model as well as many forms of the generalized
linear model as special cases. We further assume that the signal x has some
structure, and we formulate this as a general assumption that x belongs to some
known (but arbitrary) feasible set K. We carefully detail the benefit of using
the signal structure to improve estimation. The theory is based on the mean
width of K, a geometric parameter which can be used to understand its effective
dimension in estimation problems. We determine a simple, efficient two-step
procedure for estimating the signal based on this model -- a linear estimation
followed by metric projection onto K. We give general conditions under which
the estimator is minimax optimal up to a constant. This leads to the intriguing
conclusion that in the high noise regime, an unknown non-linearity in the
observations does not significantly reduce one's ability to determine the
signal, even when the non-linearity may be non-invertible. Our results may be
specialized to understand the effect of non-linearities in compressed sensing.Comment: This version incorporates minor revisions suggested by referee
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