On the rate of convergence for the autocorrelation operator in functional autoregression

We consider the problem of estimating the autocorrelation operator of an autoregressive Hilbertian process. By means of a Tikhonov approach, we establish a general result that yields the convergence rate of the estimated autocorrelation operator as a function of the rate of convergence of the estimated lag zero and lag one autocovariance operators. The result is general in that it can accommodate any consistent estimators of the lagged autocovariances. Consequently it can be applied to processes under any mode of observation: complete, discrete, sparse, and/or with measurement errors. An appealing feature is that the result does not require delicate spectral decay assumptions on the autocovariances but instead rests on natural source conditions. The result is illustrated by application to important special cases. (C) 2022 The Author(s). Published by Elsevier B.V

Functional estimation of anisotropic covariance and autocovariance operators on the sphere

We propose nonparametric estimators for the second-order cen-tral moments of possibly anisotropic spherical random fields, within a func-tional data analysis context. We consider a measurement framework where each random field among an identically distributed collection of spherical random fields is sampled at a few random directions, possibly subject to measurement error. The collection of random fields could be i.i.d. or se-rially dependent. Though similar setups have already been explored for random functions defined on the unit interval, the nonparametric estima-tors proposed in the literature often rely on local polynomials, which do not readily extend to the (product) spherical setting. We therefore formulate our estimation procedure as a variational problem involving a generalized Tikhonov regularization term. The latter favours smooth covariance/auto-covariance functions, where the smoothness is specified by means of suit-able Sobolev-like pseudo-differential operators. Using the machinery of re-producing kernel Hilbert spaces, we establish representer theorems that fully characterize the form of our estimators. We determine their uniform rates of convergence as the number of random fields diverges, both for the dense (increasing number of spatial samples) and sparse (bounded number of spatial samples) regimes. We moreover demonstrate the computational feasibility and practical merits of our estimation procedure in a simulation setting, assuming a fixed number of samples per random field. Our numeri-cal estimation procedure leverages the sparsity and second-order Kronecker structure of our setup to reduce the computational and memory require-ments by approximately three orders of magnitude compared to a naive implementation would require

Inconsistency of Template Estimation with the Fréchet mean in Quotient Space

International audienceWe tackle the problem of template estimation when data have been randomly transformed under an isometric group action in the presence of noise. In order to estimate the template, one often minimizes the variance when the influence of the transformations have been removed (computation of the Fréchet mean in quotient space). The consistency bias is defined as the distance (possibly zero) between the orbit of the template and the orbit of one element which minimizes the variance. In this article we establish an asymptotic behavior of the consistency bias with respect to the noise level. This behavior is linear with respect to the noise level. As a result the inconsistency is unavoidable as soon as the noise is large enough. In practice, the template estimation with a finite sample is often done with an algorithm called max-max. We show the convergence of this algorithm to an empirical Karcher mean. Finally, our numerical experiments show that the bias observed in practice cannot be attributed to the small sample size or to a convergence problem but is indeed due to the previously studied inconsistency

Primal Heuristics for Wasserstein Barycenters

This paper presents primal heuristics for the computation of Wasserstein Barycenters of a given set of discrete probability measures. The computation of a Wasserstein Barycenter is formulated as an optimization problem over the space of discrete probability measures. In practice, the barycenter is a discrete probability measure which minimizes the sum of the pairwise Wasserstein distances between the barycenter itself and each input measure. While this problem can be formulated using Linear Programming techniques, it remains a challenging problem due to the size of real-life instances. In this paper, we propose simple but efficient primal heuristics, which exploit the properties of the optimal plan obtained while computing the Wasserstein Distance between a pair of probability measures. In order to evaluate the proposed primal heuristics, we have performed extensive computational tests using random Gaussian distributions, the MNIST handwritten digit dataset, and the Fashion MNIST dataset introduced by Zalando. We also used Translated MNIST, a modification of MNIST which contains original images, rescaled randomly and translated into a larger image. We compare the barycenters computed by our heuristics with the exact solutions obtained with a commercial Linear Programming solver, and with a state-of-the-art algorithm based on Gaussian convolutions. Our results show that the proposed heuristics yield in very short run time and an average optimality gap significantly smaller than 1%