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05/07/2023
Affine equivariant Tyler's M-estimator applied to tail parameter learning of elliptical distributions
We propose estimating the scale parameter (mean of the eigenvalues) of t...
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10/27/2022
Adaptive Estimation of MTP_2 Graphical Models
We consider the problem of estimating (diagonally dominant) M-matrices a...
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12/03/2021
Fast Projected Newton-like Method for Precision Matrix Estimation with Nonnegative Partial Correlations
We study the problem of estimating precision matrices in multivariate Ga...
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10/12/2021
The Terminating-Knockoff Filter: Fast High-Dimensional Variable Selection with False Discovery Rate Control
We propose the Terminating-Knockoff (T-Knock) filter, a fast variable se...
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06/26/2020
Does the ℓ_1-norm Learn a Sparse Graph under Laplacian Constrained Graphical Models?
We consider the problem of learning a sparse graph under Laplacian const...
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06/17/2020
Shrinking the eigenvalues of M-estimators of covariance matrix
A highly popular regularized (shrinkage) covariance matrix estimator is ...
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05/20/2020
Learning Undirected Graphs in Financial Markets
We investigate the problem of learning undirected graphical models under...
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02/12/2020
M-estimators of scatter with eigenvalue shrinkage
A popular regularized (shrinkage) covariance estimator is the shrinkage ...
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09/27/2019
Robust Factor Analysis Parameter Estimation
This paper considers the problem of robustly estimating the parameters o...
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09/24/2019
Structured Graph Learning Via Laplacian Spectral Constraints
Learning a graph with a specific structure is essential for interpretabi...
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07/21/2019
Distributed Inexact Successive Convex Approximation ADMM: Analysis-Part I
In this two-part work, we propose an algorithmic framework for solving n...
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09/19/2018
Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM
The autoregressive (AR) model is a widely used model to understand time ...
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08/16/2018
Coordinated Scheduling and Spectrum Sharing via Matrix Fractional Programming
Interference management is a fundamental issue in device-to-device (D2D)...
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03/20/2018
Sparse Reduced Rank Regression With Nonconvex Regularization
In this paper, the estimation problem for sparse reduced rank regression...
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02/20/2018
MIMO Transmit Beampattern Matching Under Waveform Constraints
In this paper, the multiple-input multiple-output (MIMO) transmit beampa...
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10/16/2017
Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model
In econometrics and finance, the vector error correction model (VECM) is...
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02/12/2016
Orthogonal Sparse PCA and Covariance Estimation via Procrustes Reformulation
The problem of estimating sparse eigenvectors of a symmetric matrix attr...
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06/17/2015