Optimal Estimation of High-Dimensional Covariance Matrices with Missing and Noisy Data

The estimation of covariance matrices is very important in many fields, such as statistics. In real applications, data are frequently influenced by high dimensions and noise. However, most relevant studies are based on complete data. This paper studies the optimal estimation of high-dimensional covariance matrices based on missing and noisy sample under the norm. First, the model with sub-Gaussian additive noise is presented. The generalized sample covariance is then modified to define a hard thresholding estimator , and the minimax upper bound is derived. After that, the minimax lower bound is derived, and it is concluded that the estimator presented in this article is rate-optimal. Finally, numerical simulation analysis is performed. The result shows that for missing samples with sub-Gaussian noise, if the true covariance matrix is sparse, the hard thresholding estimator outperforms the traditional estimate method.

Real-time origin-destination matrices estimation for urban rail transit network based on structural state-space model

The major objective of this work was to establish a structural state-space model to estimate the dynamic origin-destination(O-D) matrices for urban rail transit network, using in- and out-flows at each station from automatic fare collection(AFC) system as the real time observed passenger flow counts. For lacking of measurable passenger flow information, the proposed model employs priori O-D matrices and travel time distribution from historical travel records in AFC system to establish the dynamic system equations. An arriving rate based on travel time distribution is defined to identify the dynamic interrelations between time-varying O-D flows and observed flows, which greatly decreases the computational complexity and improve the model's applicability for large-scale network. This methodology is tested in a real transit network from Beijing subway network in China through comparing the predicted matrices with the true matrices. Case study results indicate that the proposed model is effective and applicative for estimating dynamic O-D matrices for large-scale rail transit network.

A Singular Value Thresholding Based Matrix Completion Method for DOA Estimation in Nonuniform Noise

Usually,the problem of direction-of-arrival(DOA)estimation is performed based on the assumption of uniform noise.In many applications,however,the noise across the array may be nonuniform.In this situation,the performance of DOA estimators may be deteriorated greatly if the non-uniformity of noise is ignored.To tackle this problem,we consider the problem of DOA es-timation in the presence of nonuniform noise by leveraging a singular value thresholding(SVT)based matrix completion method.Different from that the traditional SVT method apply fixed threshold,to improve the performance,the proposed method can obtain a more suitable threshold based on careful estimation of the signal-to-noise ratio(SNR)levels.Specifically,we firstly employ an SVT-based matrix completion method to estimate the noise-free covariance matrix.On this basis,the signal and noise subspaces are obtained from the eigendecomposition of the noise-free cov-ariance matrix.Finally,traditional subspace-based DOA estimation approaches can be directly ap-plied to determine the DOAs.Numerical simulations are performed to demonstrate the effective-ness of the proposed method.

Minimum norm method of analyzing ill-conditioned state of design matrix in estimation of parameters

The method of condition number is commonly used to diagnose a normal matrix N whether it is ill conditioned state or not. For its shortcoming, a method to measure multi collinearity of a matrix was put forward. The method is that implement Gram Schmidt orthogonalizing process to column vectors of a design matrix A (α l ), then calculate the norms of every vector before and after orthogonalization process and their corresponding ratio, and use the minimum ratio among the group of ratios to measure the multi collinearity of A. According to the corresponding relationship between the multi collinearity and the ill conditioned state of a matrix, the method also studies and offers reference indexes weighing the ill conditioned state of a matrix based on the relative norm. The remarkable characteristics of the method are that the measure of multi collinearity has idiographic geometry meaning and clear lower and upper limit, the size of the measure reflects the multi collinearity of column vectors objectively. It is convenient to study the reason that results in the matrix being multi collinearity and to put forward solving plan according to the method which is summarized as the method of minimum norm and abbreviated as F method.

Robust estimation of time-dependent precision matrix with application to the cryptocurrency market

Most financial signals show time dependency that,combined with noisy and extreme events,poses serious problems in the parameter estimations of statistical models.Moreover,when addressing asset pricing,portfolio selection,and investment strategies,accurate estimates of the relationship among assets are as necessary as are delicate in a time-dependent context.In this regard,fundamental tools that increasingly attract research interests are precision matrix and graphical models,which are able to obtain insights into the joint evolution of financial quantities.In this paper,we present a robust divergence estimator for a time-varying precision matrix that can manage both the extreme events and time-dependency that affect financial time series.Furthermore,we provide an algorithm to handle parameter estimations that uses the“maximization–minimization”approach.We apply the methodology to synthetic data to test its performances.Then,we consider the cryptocurrency market as a real data application,given its remarkable suitability for the proposed method because of its volatile and unregulated nature.

Two Stage Estimation and Its Covariance Matrix in Multivariate Seemingly Unrelated Regression System

Multivariate 看起来无关的回归系统首先被提起，二个阶段评价和它的协变性矩阵被给。文学的结果[1-5 ] 在这份报纸被扩大。

Mixing matrix estimation of underdetermined blind source separation based on the linear aggregation characteristic of observation signals

Under the underdetermined blind sources separation(UBSS) circumstance,it is difficult to estimate the mixing matrix with high-precision because of unknown sparsity of signals.The mixing matrix estimation is proposed based on linear aggregation degree of signal scatter plot without knowing sparsity,and the linear aggregation degree evaluation of observed signals is presented which obeys generalized Gaussian distribution(GGD).Both the GGD shape parameter and the signals' correlation features affect the observation signals sparsity and further affected the directionality of time-frequency scatter plot.So a new mixing matrix estimation method is proposed for different sparsity degrees,which especially focuses on unclear directionality of scatter plot and weak linear aggregation degree.Firstly,the direction of coefficient scatter plot by time-frequency transform is improved and then the single source coefficients in the case of weak linear clustering is processed finally the improved K-means clustering is applied to achieve the estimation of mixing matrix.The proposed algorithm reduces the requirements of signals sparsity and independence,and the mixing matrix can be estimated with high accuracy.The simulation results show the feasibility and effectiveness of the algorithm.

THE SUPERIORITY OF EMPIRICAL BAYES ESTIMATION OF PARAMETERS IN PARTITIONED NORMAL LINEAR MODEL

In this article,the empirical Bayes（EB）estimators are constructed for the estimable functions of the parameters in partitioned normal linear model.The superiorities of the EB estimators over ordinary least-squares（LS）estimator are investigated under mean square error matrix（MSEM）criterion.

Novel algorithm on DOA estimation for correlated sources under complex symmetric Toeplitz noise

To cope with the scenario where both uncorrelated sources and coherent sources coexist, a novel algorithm to direction of arrival （DOA） estimation for symmetric uniform linear array is presented. Under the condition of stationary colored noise field, the algorithm employs a spatial differencing method to eliminate the noise covariance matrix and uncorrelated sources, then a Toeplitz matrix is constructed for the remained coherent sources. After preprocessing, a propagator method （PM） is employed to find the DOAs without any eigendecomposition. The number of sources resolved by this approach can exceed the number of array elements at a lower computational complexity. Simulation results demonstrate the effectiveness and efficiency of the proposed method.

Underdetermined DOA estimation via multiple time-delay covariance matrices and deep residual network

Higher-order statistics based approaches and signal sparseness based approaches have emerged in recent decades to resolve the underdetermined direction-of-arrival(DOA)estimation problem.These model-based methods face great challenges in practical applications due to high computational complexity and dependence on ideal assumptions.This paper presents an effective DOA estimation approach based on a deep residual network(DRN)for the underdetermined case.We first extract an input feature from a new matrix calculated by stacking several covariance matrices corresponding to different time delays.We then provide the input feature to the trained DRN to construct the super resolution spectrum.The DRN learns the mapping relationship between the input feature and the spatial spectrum by training.The proposed approach is superior to existing model-based estimation methods in terms of calculation efficiency,independence of source sparseness and adaptive capacity to non-ideal conditions(e.g.,low signal to noise ratio,short bit sequence).Simulations demonstrate the validity and strong performance of the proposed algorithm on both overdetermined and underdetermined cases.

Nonsynchronized state estimation of uncertain discrete-time piecewise affine systems

This paper investigates the problem of robust H-infinity state estimation for a class of uncertain discretetime piecewise affine systems where state space instead of measurable output space partitions are assumed so that the filter implementation may not be synchronized with plant state trajectory transitions. Based on a piecewise quadratic Lyapunov function combined with S-procedure and some matrix inequality convexifying techniques, two different approaches are developed to the robust filtering design for the underlying piecewise affine systems. It is shown that the filter gains can be obtained by solving a set of linear matrix inequalities （LMIs）. Finally, a simulation example is provided to illustrate the effectiveness of the proposed approaches.

Improved results on state estimation for neural networks with time-varying delays

In this paper, some improved results on the state estimation problem for recurrent neural networks with both time-varying and distributed time-varying delays are presented. Through available output measurements, an improved delay-dependent criterion is established to estimate the neuron states such that the dynamics of the estimation error is globally exponentially stable, and the derivative of time-delay being less than 1 is removed, which generalize the existent methods. Finally, two illustrative examples are given to demonstrate the effectiveness of the proposed results.

Krein Space-based H∞ Fault Estimation for Linear Discrete Time-varying Systems

这份报纸处理 H 差错评价的问题因为有 L2 标准的线性分离变化时间的系统的一个类围住未知输入。主要贡献是 H 差错评价的一条新 Krein 基于空间的途径的发展。H 差错评价的问题第一被等同到一种分级的二次的形式的最小。由在 Krein 空格介绍一个相应系统，然后，一个 H 差错评估者的存在上的一个足够、必要的条件被导出，它的参数矩阵的一个答案以矩阵 Riccati 方程被获得。最后，二个数字例子被给表明建议方法的效率。

A New Criterion of Fault Estimation for Neutral Delay Systems Using Adaptive Observer

这份报纸用适应观察员学习中立延期系统的差错评价的问题。一个新奇快适应差错评价(FAFE ) 算法首先基于适应观察员被建议包括快和精确性提高差错评价的表演。同时，一个延期依赖者标准被建立特别为小延期系统减少设计过程的保守主义。然后，全面分析被介绍用线性矩阵不平等(LMI ) 讨论精明的步技术。最后，模拟结果被介绍说明建议算法的效率。

Direction of arrival estimation method based on quantum electromagnetic field optimization in the impulse noise

In order to resolve direction finding problems in the impulse noise,a direction of arrival(DOA)estimation method is proposed.The proposed DOA estimation method can restrain the impulse noise by using infinite norm exponential kernel covariance matrix and obtain excellent performance via the maximumlikelihood(ML)algorithm.In order to obtain the global optimal solutions of this method,a quantum electromagnetic field optimization(QEFO)algorithm is designed.In view of the QEFO algorithm,the proposed method can resolve the difficulties of DOA estimation in the impulse noise.Comparing with some traditional DOA estimation methods,the proposed DOA estimation method shows high superiority and robustness for determining the DOA of independent and coherent sources,which has been verified via the Monte-Carlo experiments of different schemes,especially in the case of snapshot deficiency,low generalized signal to noise ratio(GSNR)and strong impulse noise.Beyond that,the Cramer-Rao bound(CRB)of angle estimation in the impulse noise and the proof of the convergence of the QEFO algorithm are provided in this paper.

Texture invariant estimation of equivalent number of looks based on log-cumulants in polarimetric radar imagery

A novel estimation of the equivalent number of looks (ENL) is proposed in statistical modeling of multilook polarimetric synthetic aperture radar (PolSAR) images for the product model, which is based on the log-determinant moments (LDM). The LDM estimators discovered by looking at certain log-cumulants of the intensities of different polarization channels and the multilook polarimetric covariance matrix, which can be used for both the Gaussian model and all product models. This estimator has analytic expressions, and uses the full covariance matrix and intensities as input, which makes more statistical information available. Experiments based on simulated data and real data are performed. The comparisons among the widely used methods of equivalent number of looks (ENL) estimation for the product model such as K and G0 distributions show that the performance of the LDM estimator is outstanding. The performance of estimators for the real data of San Francisco and Flevoland is analyzed and the results are according to those of simulated data. Finally, it can be concluded that the LDM estimator is well robust to each product model with low computational complexity and high accuracy. © 1990-2011 Beijing Institute of Aerospace Information.

SAMPLED-DATA STATE ESTIMATION FOR NEURAL NETWORKS WITH ADDITIVE TIME–VARYING DELAYS

In this paper, we consider the problem of delay-dependent stability for state estimation of neural networks with two additive time–varying delay components via sampleddata control. By constructing a suitable Lyapunov–Krasovskii functional with triple and four integral terms and by using Jensen's inequality, a new delay-dependent stability criterion is derived in terms of linear matrix inequalities(LMIs) to ensure the asymptotic stability of the equilibrium point of the considered neural networks. Instead of the continuous measurement,the sampled measurement is used to estimate the neuron states, and a sampled-data estimator is constructed. Due to the delay-dependent method, a significant source of conservativeness that could be further reduced lies in the calculation of the time-derivative of the Lyapunov functional. The relationship between the time-varying delay and its upper bound is taken into account when estimating the upper bound of the derivative of Lyapunov functional. As a result, some less conservative stability criteria are established for systems with two successive delay components. Finally, numerical example is given to show the superiority of proposed method.

IMPROVED ESTIMATES OF THE COVARIANCE MATRIX IN GENERAL LINEAR MIXED MODELS

In this article, the problem of estimating the covariance matrix in general linear mixed models is considered. Two new classes of estimators obtained by shrinking the eigenvalues towards the origin and the arithmetic mean, respectively, are proposed. It is shown that these new estimators dominate the unbiased estimator under the squared error loss function. Finally, some simulation results to compare the performance of the proposed estimators with that of the unbiased estimator are reported. The simulation results indicate that these new shrinkage estimators provide a substantial improvement in risk under most situations.

A Descriptor System Approach of Sensor Fault State Estimation for Sampled-data Systems

This paper proposes a fault estimation method for sampled data systems with sensor faults. The sampled data system is firstly discretized to obtain a discrete time model. Then a descriptor system is constructed to describe the discretized system with sensor faults. Based on the descriptor system representation a bank of observers are designed to isolate and estimate the sensor faults. These observers can be synthesized by the linear matrix inequality (LMI) technique and sufficient conditions for the existence of these observers are derived. Finally the effectiveness is ascertained by an aircraft simulation example which is in the proposed method.

ALL ADMISSIBLE LINEAR ESTIMATORS UNDER MATRIX LOSS IN MULTIVARIATE MODEL

Under maids loss, tall paper dicusses the admissibility of homgeneous or nonhomgeneous linear estimators of regresaion coefficient of multivarate linear model in some common classes of estimators, the necessary and sufficient conditions are obtained.The results indicate that the admissibility of linear estimetors in multiate linear model is different from the admiedbility of linear estimators in Gauss-Markoff model.