21,391 research outputs found
Wavelet-Based Bayesian Estimation of Partially Linear Regression Models with Long Memory Errors
In this paper we focus on partially linear regression models with long memory errors, and propose a wavelet-based Bayesian procedure that allows the simultaneous estimation of the model parameters and the nonparametric part of the model. Employing discrete wavelet transforms is crucial in order to simplify the dense variance-covariance matrix of the long memory error. We achieve a fully Bayesian inference by adopting a Metropolis algorithm within a Gibbs sampler. We evaluate the performances of the proposed method on simulated data. In addition, we present an application to Northern hemisphere temperature data, a benchmark in the long memory literature
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 -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
Partially Linear Estimation with Application to Sparse Signal Recovery From Measurement Pairs
We address the problem of estimating a random vector X from two sets of
measurements Y and Z, such that the estimator is linear in Y. We show that the
partially linear minimum mean squared error (PLMMSE) estimator does not require
knowing the joint distribution of X and Y in full, but rather only its
second-order moments. This renders it of potential interest in various
applications. We further show that the PLMMSE method is minimax-optimal among
all estimators that solely depend on the second-order statistics of X and Y. We
demonstrate our approach in the context of recovering a signal, which is sparse
in a unitary dictionary, from noisy observations of it and of a filtered
version of it. We show that in this setting PLMMSE estimation has a clear
computational advantage, while its performance is comparable to
state-of-the-art algorithms. We apply our approach both in static and dynamic
estimation applications. In the former category, we treat the problem of image
enhancement from blurred/noisy image pairs, where we show that PLMMSE
estimation performs only slightly worse than state-of-the art algorithms, while
running an order of magnitude faster. In the dynamic setting, we provide a
recursive implementation of the estimator and demonstrate its utility in the
context of tracking maneuvering targets from position and acceleration
measurements.Comment: 13 pages, 5 figure
Time-scale analysis of abrupt changes corrupted by multiplicative noise
Multiplicative Abrupt Changes (ACs) have been considered in many applications. These applications include image processing (speckle) and random communication models (fading). Previous authors have shown that the Continuous Wavelet Transform (CWT) has good detection properties for ACs in additive noise. This work applies the CWT to AC detection in multiplicative noise. CWT translation invariance allows to define an AC signature. The problem then becomes signature detection in the time-scale domain. A second-order contrast criterion is defined as a measure of detection performance. This criterion depends upon the first- and second-order moments of the multiplicative process's CWT. An optimal wavelet (maximizing the contrast) is derived for an ideal step in white multiplicative noise. This wavelet is asymptotically optimal for smooth changes and can be approximated for small AC amplitudes by the Haar wavelet. Linear and quadratic suboptimal signature-based detectors are also studied. Closed-form threshold expressions are given as functions of the false alarm probability for three of the detectors. Detection performance is characterized using Receiver Operating Characteristic (ROC) curves computed from Monte-Carlo simulations
Wavelet correlations to reveal multiscale coupling in geophysical systems
The interactions between climate and the environment are highly complex. Due
to this complexity, process-based models are often preferred to estimate the
net magnitude and directionality of interactions in the Earth System. However,
these models are based on simplifications of our understanding of nature, thus
are unavoidably imperfect. Conversely, observation-based data of climatic and
environmental variables are becoming increasingly accessible over large scales
due to the progress of space-borne sensing technologies and data-assimilation
techniques. Albeit uncertain, these data enable the possibility to start
unraveling complex multivariable, multiscale relationships if the appropriate
statistical methods are applied.
Here, we investigate the potential of the wavelet cross-correlation method as
a tool for identifying multiscale interactions, feedback and regime shifts in
geophysical systems. The ability of wavelet cross-correlation to resolve the
fast and slow components of coupled systems is tested on synthetic data of
known directionality, and then applied to observations to study one of the most
critical interactions between land and atmosphere: the coupling between soil
moisture and near-ground air temperature. Results show that our method is not
only able to capture the dynamics of the soil moisture-temperature coupling
over a wide range of temporal scales (from days to several months) and climatic
regimes (from wet to dry), but also to consistently identify the magnitude and
directionality of the coupling. Consequently, wavelet cross-correlations are
presented as a promising tool for the study of multiscale interactions, with
the potential of being extended to the analysis of causal relationships in the
Earth system.Comment: Submitted to Journal of Geophysical Research - Atmospher
Sparse component separation for accurate CMB map estimation
The Cosmological Microwave Background (CMB) is of premier importance for the
cosmologists to study the birth of our universe. Unfortunately, most CMB
experiments such as COBE, WMAP or Planck do not provide a direct measure of the
cosmological signal; CMB is mixed up with galactic foregrounds and point
sources. For the sake of scientific exploitation, measuring the CMB requires
extracting several different astrophysical components (CMB, Sunyaev-Zel'dovich
clusters, galactic dust) form multi-wavelength observations. Mathematically
speaking, the problem of disentangling the CMB map from the galactic
foregrounds amounts to a component or source separation problem. In the field
of CMB studies, a very large range of source separation methods have been
applied which all differ from each other in the way they model the data and the
criteria they rely on to separate components. Two main difficulties are i) the
instrument's beam varies across frequencies and ii) the emission laws of most
astrophysical components vary across pixels. This paper aims at introducing a
very accurate modeling of CMB data, based on sparsity, accounting for beams
variability across frequencies as well as spatial variations of the components'
spectral characteristics. Based on this new sparse modeling of the data, a
sparsity-based component separation method coined Local-Generalized
Morphological Component Analysis (L-GMCA) is described. Extensive numerical
experiments have been carried out with simulated Planck data. These experiments
show the high efficiency of the proposed component separation methods to
estimate a clean CMB map with a very low foreground contamination, which makes
L-GMCA of prime interest for CMB studies.Comment: submitted to A&
Functional Regression
Functional data analysis (FDA) involves the analysis of data whose ideal
units of observation are functions defined on some continuous domain, and the
observed data consist of a sample of functions taken from some population,
sampled on a discrete grid. Ramsay and Silverman's 1997 textbook sparked the
development of this field, which has accelerated in the past 10 years to become
one of the fastest growing areas of statistics, fueled by the growing number of
applications yielding this type of data. One unique characteristic of FDA is
the need to combine information both across and within functions, which Ramsay
and Silverman called replication and regularization, respectively. This article
will focus on functional regression, the area of FDA that has received the most
attention in applications and methodological development. First will be an
introduction to basis functions, key building blocks for regularization in
functional regression methods, followed by an overview of functional regression
methods, split into three types: [1] functional predictor regression
(scalar-on-function), [2] functional response regression (function-on-scalar)
and [3] function-on-function regression. For each, the role of replication and
regularization will be discussed and the methodological development described
in a roughly chronological manner, at times deviating from the historical
timeline to group together similar methods. The primary focus is on modeling
and methodology, highlighting the modeling structures that have been developed
and the various regularization approaches employed. At the end is a brief
discussion describing potential areas of future development in this field
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