Robust Multiple Signal Classification via Probability Measure Transformation

In this paper, we introduce a new framework for robust multiple signal classification (MUSIC). The proposed framework, called robust measure-transformed (MT) MUSIC, is based on applying a transform to the probability distribution of the received signals, i.e., transformation of the probability measure defined on the observation space. In robust MT-MUSIC, the sample covariance is replaced by the empirical MT-covariance. By judicious choice of the transform we show that: 1) the resulting empirical MT-covariance is B-robust, with bounded influence function that takes negligible values for large norm outliers, and 2) under the assumption of spherically contoured noise distribution, the noise subspace can be determined from the eigendecomposition of the MT-covariance. Furthermore, we derive a new robust measure-transformed minimum description length (MDL) criterion for estimating the number of signals, and extend the MT-MUSIC framework to the case of coherent signals. The proposed approach is illustrated in simulation examples that show its advantages as compared to other robust MUSIC and MDL generalizations

Semiparametric Inference and Lower Bounds for Real Elliptically Symmetric Distributions

This paper has a twofold goal. The first aim is to provide a deeper understanding of the family of the Real Elliptically Symmetric (RES) distributions by investigating their intrinsic semiparametric nature. The second aim is to derive a semiparametric lower bound for the estimation of the parametric component of the model. The RES distributions represent a semiparametric model where the parametric part is given by the mean vector and by the scatter matrix while the non-parametric, infinite-dimensional, part is represented by the density generator. Since, in practical applications, we are often interested only in the estimation of the parametric component, the density generator can be considered as nuisance. The first part of the paper is dedicated to conveniently place the RES distributions in the framework of the semiparametric group models. The second part of the paper, building on the mathematical tools previously introduced, the Constrained Semiparametric Cram\'{e}r-Rao Bound (CSCRB) for the estimation of the mean vector and of the constrained scatter matrix of a RES distributed random vector is introduced. The CSCRB provides a lower bound on the Mean Squared Error (MSE) of any robust $M$-estimator of mean vector and scatter matrix when no a-priori information on the density generator is available. A closed form expression for the CSCRB is derived. Finally, in simulations, we assess the statistical efficiency of the Tyler's and Huber's scatter matrix $M$-estimators with respect to the CSCRB.Comment: This paper has been accepted for publication in IEEE Transactions on Signal Processin

Semiparametric CRB and Slepian-Bangs formulas for Complex Elliptically Symmetric Distributions

The main aim of this paper is to extend the semiparametric inference methodology, recently investigated for Real Elliptically Symmetric (RES) distributions, to Complex Elliptically Symmetric (CES) distributions. The generalization to the complex field is of fundamental importance in all practical applications that exploit the complex representation of the acquired data. Moreover, the CES distributions has been widely recognized as a valuable and general model to statistically describe the non-Gaussian behaviour of datasets originated from a wide variety of physical measurement processes. The paper is divided in two parts. In the first part, a closed form expression of the constrained Semiparametric Cram\'{e}r-Rao Bound (CSCRB) for the joint estimation of complex mean vector and complex scatter matrix of a set of CES-distributed random vectors is obtained by exploiting the so-called \textit{Wirtinger} or $\mathbb{C}\mathbb{R}$-\textit{calculus}. The second part deals with the derivation of the semiparametric version of the Slepian-Bangs formula in the context of the CES model. Specifically, the proposed Semiparametric Slepian-Bangs (SSB) formula provides us with a useful and ready-to-use expression of the Semiparametric Fisher Information Matrix (SFIM) for the estimation of a parameter vector parametrizing the complex mean and the complex scatter matrix of a CES-distributed vector in the presence of unknown, nuisance, density generator. Furthermore, we show how to exploit the derived SSB formula to obtain the semiparametric counterpart of the Stochastic CRB for Direction of Arrival (DOA) estimation under a random signal model assumption. Simulation results are also provided to clarify the theoretical findings and to demonstrate their usefulness in common array processing applications.Comment: Submitted to IEEE Transactions on Signal Processing. arXiv admin note: substantial text overlap with arXiv:1807.08505, arXiv:1807.0893

An Estimation and Analysis Framework for the Rasch Model

The Rasch model is widely used for item response analysis in applications ranging from recommender systems to psychology, education, and finance. While a number of estimators have been proposed for the Rasch model over the last decades, the available analytical performance guarantees are mostly asymptotic. This paper provides a framework that relies on a novel linear minimum mean-squared error (L-MMSE) estimator which enables an exact, nonasymptotic, and closed-form analysis of the parameter estimation error under the Rasch model. The proposed framework provides guidelines on the number of items and responses required to attain low estimation errors in tests or surveys. We furthermore demonstrate its efficacy on a number of real-world collaborative filtering datasets, which reveals that the proposed L-MMSE estimator performs on par with state-of-the-art nonlinear estimators in terms of predictive performance.Comment: To be presented at ICML 201

Performance analysis and optimal selection of large mean-variance portfolios under estimation risk

We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of assets remains comparable in magnitude to the sample size, we provide a characterization of the estimation risk by providing deterministic equivalents of the portfolio out-of-sample performance in terms of the underlying investment scenario. The previous estimates represent a means of quantifying the amount of risk underestimation and return overestimation of improved portfolio constructions beyond standard ones. Well-known for the latter, if not corrected, these deviations lead to inaccurate and overly optimistic Sharpe-based investment decisions. Our results are based on recent contributions in the field of random matrix theory. Along with the asymptotic analysis, the analytical framework allows us to find bias corrections improving on the achieved out-of-sample performance of typical portfolio constructions. Some numerical simulations validate our theoretical findings