Robust Estimation and Wavelet Thresholding in Partial Linear Models

This paper is concerned with a semiparametric partially linear regression model with unknown regression coefficients, an unknown nonparametric function for the non-linear component, and unobservable Gaussian distributed random errors. We present a wavelet thresholding based estimation procedure to estimate the components of the partial linear model by establishing a connection between an $l_1$-penalty based wavelet estimator of the nonparametric component and Huber's M-estimation of a standard linear model with outliers. Some general results on the large sample properties of the estimates of both the parametric and the nonparametric part of the model are established. Simulations and a real example are used to illustrate the general results and to compare the proposed methodology with other methods available in the recent literature

Lorentzian Iterative Hard Thresholding: Robust Compressed Sensing with Prior Information

Commonly employed reconstruction algorithms in compressed sensing (CS) use the $L_2$ norm as the metric for the residual error. However, it is well-known that least squares (LS) based estimators are highly sensitive to outliers present in the measurement vector leading to a poor performance when the noise no longer follows the Gaussian assumption but, instead, is better characterized by heavier-than-Gaussian tailed distributions. In this paper, we propose a robust iterative hard Thresholding (IHT) algorithm for reconstructing sparse signals in the presence of impulsive noise. To address this problem, we use a Lorentzian cost function instead of the $L_2$ cost function employed by the traditional IHT algorithm. We also modify the algorithm to incorporate prior signal information in the recovery process. Specifically, we study the case of CS with partially known support. The proposed algorithm is a fast method with computational load comparable to the LS based IHT, whilst having the advantage of robustness against heavy-tailed impulsive noise. Sufficient conditions for stability are studied and a reconstruction error bound is derived. We also derive sufficient conditions for stable sparse signal recovery with partially known support. Theoretical analysis shows that including prior support information relaxes the conditions for successful reconstruction. Simulation results demonstrate that the Lorentzian-based IHT algorithm significantly outperform commonly employed sparse reconstruction techniques in impulsive environments, while providing comparable performance in less demanding, light-tailed environments. Numerical results also demonstrate that the partially known support inclusion improves the performance of the proposed algorithm, thereby requiring fewer samples to yield an approximate reconstruction.Comment: 28 pages, 9 figures, accepted in IEEE Transactions on Signal Processin

Sparsity and adaptivity for the blind separation of partially correlated sources

Blind source separation (BSS) is a very popular technique to analyze multichannel data. In this context, the data are modeled as the linear combination of sources to be retrieved. For that purpose, standard BSS methods all rely on some discrimination principle, whether it is statistical independence or morphological diversity, to distinguish between the sources. However, dealing with real-world data reveals that such assumptions are rarely valid in practice: the signals of interest are more likely partially correlated, which generally hampers the performances of standard BSS methods. In this article, we introduce a novel sparsity-enforcing BSS method coined Adaptive Morphological Component Analysis (AMCA), which is designed to retrieve sparse and partially correlated sources. More precisely, it makes profit of an adaptive re-weighting scheme to favor/penalize samples based on their level of correlation. Extensive numerical experiments have been carried out which show that the proposed method is robust to the partial correlation of sources while standard BSS techniques fail. The AMCA algorithm is evaluated in the field of astrophysics for the separation of physical components from microwave data.Comment: submitted to IEEE Transactions on signal processin

Wavelet methods in statistics: Some recent developments and their applications

The development of wavelet theory has in recent years spawned applications in signal processing, in fast algorithms for integral transforms, and in image and function representation methods. This last application has stimulated interest in wavelet applications to statistics and to the analysis of experimental data, with many successes in the efficient analysis, processing, and compression of noisy signals and images. This is a selective review article that attempts to synthesize some recent work on ``nonlinear'' wavelet methods in nonparametric curve estimation and their role on a variety of applications. After a short introduction to wavelet theory, we discuss in detail several wavelet shrinkage and wavelet thresholding estimators, scattered in the literature and developed, under more or less standard settings, for density estimation from i.i.d. observations or to denoise data modeled as observations of a signal with additive noise. Most of these methods are fitted into the general concept of regularization with appropriately chosen penalty functions. A narrow range of applications in major areas of statistics is also discussed such as partial linear regression models and functional index models. The usefulness of all these methods are illustrated by means of simulations and practical examples.Comment: Published in at http://dx.doi.org/10.1214/07-SS014 the Statistics Surveys (http://www.i-journals.org/ss/) by the Institute of Mathematical Statistics (http://www.imstat.org

Delay-Coordinates Embeddings as a Data Mining Tool for Denoising Speech Signals

In this paper we utilize techniques from the theory of non-linear dynamical systems to define a notion of embedding threshold estimators. More specifically we use delay-coordinates embeddings of sets of coefficients of the measured signal (in some chosen frame) as a data mining tool to separate structures that are likely to be generated by signals belonging to some predetermined data set. We describe a particular variation of the embedding threshold estimator implemented in a windowed Fourier frame, and we apply it to speech signals heavily corrupted with the addition of several types of white noise. Our experimental work seems to suggest that, after training on the data sets of interest,these estimators perform well for a variety of white noise processes and noise intensity levels. The method is compared, for the case of Gaussian white noise, to a block thresholding estimator