Finite sample performance of linear least squares estimators under sub-Gaussian martingale difference noise

Linear Least Squares is a very well known technique for parameter estimation, which is used even when sub-optimal, because of its very low computational requirements and the fact that exact knowledge of the noise statistics is not required. Surprisingly, bounding the probability of large errors with finitely many samples has been left open, especially when dealing with correlated noise with unknown covariance. In this paper we analyze the finite sample performance of the linear least squares estimator under sub-Gaussian martingale difference noise. In order to analyze this important question we used concentration of measure bounds. When applying these bounds we obtained tight bounds on the tail of the estimator's distribution. We show the fast exponential convergence of the number of samples required to ensure a given accuracy with high probability. We provide probability tail bounds on the estimation error's norm. Our analysis method is simple and uses simple $L_{\infty}$ type bounds on the estimation error. The tightness of the bounds is tested through simulation. The proposed bounds make it possible to predict the number of samples required for least squares estimation even when least squares is sub-optimal and used for computational simplicity. The finite sample analysis of least squares models with this general noise model is novel

Direct exoplanet detection and characterization using the ANDROMEDA method: Performance on VLT/NaCo data

Context. The direct detection of exoplanets with high-contrast imaging requires advanced data processing methods to disentangle potential planetary signals from bright quasi-static speckles. Among them, angular differential imaging (ADI) permits potential planetary signals with a known rotation rate to be separated from instrumental speckles that are either statics or slowly variable. The method presented in this paper, called ANDROMEDA for ANgular Differential OptiMal Exoplanet Detection Algorithm is based on a maximum likelihood approach to ADI and is used to estimate the position and the flux of any point source present in the field of view. Aims. In order to optimize and experimentally validate this previously proposed method, we applied ANDROMEDA to real VLT/NaCo data. In addition to its pure detection capability, we investigated the possibility of defining simple and efficient criteria for automatic point source extraction able to support the processing of large surveys. Methods. To assess the performance of the method, we applied ANDROMEDA on VLT/NaCo data of TYC-8979-1683-1 which is surrounded by numerous bright stars and on which we added synthetic planets of known position and flux in the field. In order to accommodate the real data properties, it was necessary to develop additional pre-processing and post-processing steps to the initially proposed algorithm. We then investigated its skill in the challenging case of a well-known target, $\beta$ Pictoris, whose companion is close to the detection limit and we compared our results to those obtained by another method based on principal component analysis (PCA). Results. Application on VLT/NaCo data demonstrates the ability of ANDROMEDA to automatically detect and characterize point sources present in the image field. We end up with a robust method bringing consistent results with a sensitivity similar to the recently published algorithms, with only two parameters to be fine tuned. Moreover, the companion flux estimates are not biased by the algorithm parameters and do not require a posteriori corrections. Conclusions. ANDROMEDA is an attractive alternative to current standard image processing methods that can be readily applied to on-sky data

Distributed Adaptive Learning of Graph Signals

The aim of this paper is to propose distributed strategies for adaptive learning of signals defined over graphs. Assuming the graph signal to be bandlimited, the method enables distributed reconstruction, with guaranteed performance in terms of mean-square error, and tracking from a limited number of sampled observations taken from a subset of vertices. A detailed mean square analysis is carried out and illustrates the role played by the sampling strategy on the performance of the proposed method. Finally, some useful strategies for distributed selection of the sampling set are provided. Several numerical results validate our theoretical findings, and illustrate the performance of the proposed method for distributed adaptive learning of signals defined over graphs.Comment: To appear in IEEE Transactions on Signal Processing, 201