3,230 research outputs found
Direction of arrival estimation using robust complex Lasso
The Lasso (Least Absolute Shrinkage and Selection Operator) has been a
popular technique for simultaneous linear regression estimation and variable
selection. In this paper, we propose a new novel approach for robust Lasso that
follows the spirit of M-estimation. We define -Lasso estimates of regression
and scale as solutions to generalized zero subgradient equations. Another
unique feature of this paper is that we consider complex-valued measurements
and regression parameters, which requires careful mathematical characterization
of the problem. An explicit and efficient algorithm for computing the -Lasso
solution is proposed that has comparable computational complexity as
state-of-the-art algorithm for computing the Lasso solution. Usefulness of the
-Lasso method is illustrated for direction-of-arrival (DoA) estimation with
sensor arrays in a single snapshot case.Comment: Paper has appeared in the Proceedings of the 10th European Conference
on Antennas and Propagation (EuCAP'2016), Davos, Switzerland, April 10-15,
201
Multichannel sparse recovery of complex-valued signals using Huber's criterion
In this paper, we generalize Huber's criterion to multichannel sparse
recovery problem of complex-valued measurements where the objective is to find
good recovery of jointly sparse unknown signal vectors from the given multiple
measurement vectors which are different linear combinations of the same known
elementary vectors. This requires careful characterization of robust
complex-valued loss functions as well as Huber's criterion function for the
multivariate sparse regression problem. We devise a greedy algorithm based on
simultaneous normalized iterative hard thresholding (SNIHT) algorithm. Unlike
the conventional SNIHT method, our algorithm, referred to as HUB-SNIHT, is
robust under heavy-tailed non-Gaussian noise conditions, yet has a negligible
performance loss compared to SNIHT under Gaussian noise. Usefulness of the
method is illustrated in source localization application with sensor arrays.Comment: To appear in CoSeRa'15 (Pisa, Italy, June 16-19, 2015). arXiv admin
note: text overlap with arXiv:1502.0244
Nonparametric Simultaneous Sparse Recovery: an Application to Source Localization
We consider multichannel sparse recovery problem where the objective is to
find good recovery of jointly sparse unknown signal vectors from the given
multiple measurement vectors which are different linear combinations of the
same known elementary vectors. Many popular greedy or convex algorithms perform
poorly under non-Gaussian heavy-tailed noise conditions or in the face of
outliers. In this paper, we propose the usage of mixed norms on
data fidelity (residual matrix) term and the conventional -norm
constraint on the signal matrix to promote row-sparsity. We devise a greedy
pursuit algorithm based on simultaneous normalized iterative hard thresholding
(SNIHT) algorithm. Simulation studies highlight the effectiveness of the
proposed approaches to cope with different noise environments (i.i.d., row
i.i.d, etc) and outliers. Usefulness of the methods are illustrated in source
localization application with sensor arrays.Comment: Paper appears in Proc. European Signal Processing Conference
(EUSIPCO'15), Nice, France, Aug 31 -- Sep 4, 201
On asymptotics of ICA estimators and their performance indices
Independent component analysis (ICA) has become a popular multivariate
analysis and signal processing technique with diverse applications. This paper
is targeted at discussing theoretical large sample properties of ICA unmixing
matrix functionals. We provide a formal definition of unmixing matrix
functional and consider two popular estimators in detail: the family based on
two scatter matrices with the independence property (e.g., FOBI estimator) and
the family of deflation-based fastICA estimators. The limiting behavior of the
corresponding estimates is discussed and the asymptotic normality of the
deflation-based fastICA estimate is proven under general assumptions.
Furthermore, properties of several performance indices commonly used for
comparison of different unmixing matrix estimates are discussed and a new
performance index is proposed. The proposed index fullfills three desirable
features which promote its use in practice and distinguish it from others.
Namely, the index possesses an easy interpretation, is fast to compute and its
asymptotic properties can be inferred from asymptotics of the unmixing matrix
estimate. We illustrate the derived asymptotical results and the use of the
proposed index with a small simulation study
The affine equivariant sign covariance matrix: asymptotic behavior and efficiencies.
We consider the affine equivariant sign covariance matrix (SCM) introduced by Visuri et al. (J. Statist. Plann. Inference 91 (2000) 557). The population SCM is shown to be proportional to the inverse of the regular covariance matrix. The eigenvectors and standardized eigenvalues of the covariance, matrix can thus be derived from the SCM. We also construct an estimate of the covariance and correlation matrix based on the SCM. The influence functions and limiting distributions of the SCM and its eigenvectors and eigenvalues are found. Limiting efficiencies are given in multivariate normal and t-distribution cases. The estimates are highly efficient in the multivariate normal case and perform better than estimates based on the sample covariance matrix for heavy-tailed distributions. Simulations confirmed these findings for finite-sample efficiencies. (C) 2003 Elsevier Science (USA). All rights reserved.affine equivariance; covariance and correlation matrices; efficiency; eigenvectors and eigenvalues; influence function; multivariate median; multivariate sign; robustness; multivariate location; discriminant-analysis; principal components; dispersion matrices; tests; estimators;
Influence function and asymptotic efficiency of the affine equivariant rank covariance matrix.
Visuri et al (2001) proposed and illustrated the use of the affine equivariant rank covariance matrix (RCM) in classical multivariate inference problems. The RCM was shown to be asymptotically multinormal but explicit formulas for the limiting variances and covariances were not given yet. In this paper the influence functions and the limiting variances and covariances of the RCM and the corresponding scatter estimate are derived in the multivariate elliptic case. Limiting efficiencies are given in the multivariate normal and t-distribution cases. The estimates based on the RCM are highly efficient in the multinormal case, and for heavy tailed distribution, perform better than those based on the regular covariance matrix.Efficiency;
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