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Register a new userMultivariate Smoothing via the Fourier Integral Theorem and Fourier Kernel
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Added by
Nhat Ho
Publication date
2020
fields
Mathematical Statistics
and research's language is
English
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Starting with the Fourier integral theorem, we present natural Monte Carlo estimators of multivariate functions including densities, mixing densities, transition densities, regression functions, and the search for modes of multivariate density functions (modal regression). Rates of convergence are established and, in many cases, provide superior rates to current standard estimators such as those based on kernels, including kernel density estimators and kernel regression functions. Numerical illustrations are presented.
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In the multivariate regression, also referred to as multi-task learning in machine learning, the goal is to recover a vector-valued function based on noisy observations. The vector-valued function is often assumed to be of low rank. Although the multivariate linear regression is extensively studied in the literature, a theoretical study on the multivariate nonlinear regression is lacking. In this paper, we study reduced rank multivariate kernel ridge regression, proposed by cite{mukherjee2011reduced}. We prove the consistency of the function predictor and provide the convergence rate. An algorithm based on nuclear norm relaxation is proposed. A few numerical examples are presented to show the smaller mean squared prediction error comparing with the elementwise univariate kernel ridge regression.
Taking the Fourier integral theorem as our starting point, in this paper we focus on natural Monte Carlo and fully nonparametric estimators of multivariate distributions and conditional distribution functions. We do this without the need for any estimated covariance matrix or dependence structure between variables. These aspects arise immediately from the integral theorem. Being able to model multivariate data sets using conditional distribution functions we can study a number of problems, such as prediction for Markov processes, estimation of mixing distribution functions which depend on covariates, and general multivariate data. Estimators are explicit Monte Carlo based and require no recursive or iterative algorithms.
We obtain new local smoothing estimates for the Euclidean wave equation on $mathbb{R}^{n}$, by replacing the space of initial data by a Hardy space for Fourier integral operators. This improves the bounds in the local smoothing conjecture for $pgeq 2(n+1)/(n-1)$, and complements them for $2<p<2(n+1)/(n-1)$. These estimates are invariant under application of Fourier integral operators.
Kernel density estimation is a well known method involving a smoothing parameter (the bandwidth) that needs to be tuned by the user. Although this method has been widely used the bandwidth selection remains a challenging issue in terms of balancing algorithmic performance and statistical relevance. The purpose of this paper is to compare a recently developped bandwidth selection method for kernel density estimation to those which are commonly used by now (at least those which are implemented in the R-package). This new method is called Penalized Comparison to Overfitting (PCO). It has been proposed by some of the authors of this paper in a previous work devoted to its statistical relevance from a purely theoretical perspective. It is compared here to other usual bandwidth selection methods for univariate and also multivariate kernel density estimation on the basis of intensive simulation studies. In particular, cross-validation and plug-in criteria are numerically investigated and compared to PCO. The take home message is that PCO can outperform the classical methods without algorithmic additionnal cost.
The state-of-the-art automotive radars employ multidimensional discrete Fourier transforms (DFT) in order to estimate various target parameters. The DFT is implemented using the fast Fourier transform (FFT), at sample and computational complexity of $O(N)$ and $O(N log N)$, respectively, where $N$ is the number of samples in the signal space. We have recently proposed a sparse Fourier transform based on the Fourier projection-slice theorem (FPS-SFT), which applies to multidimensional signals that are sparse in the frequency domain. FPS-SFT achieves sample complexity of $O(K)$ and computational complexity of $O(K log K)$ for a multidimensional, $K$-sparse signal. While FPS-SFT considers the ideal scenario, i.e., exactly sparse data that contains on-grid frequencies, in this paper, by extending FPS-SFT into a robust version (RFPS-SFT), we emphasize on addressing noisy signals that contain off-grid frequencies; such signals arise from radar applications. This is achieved by employing a windowing technique and a voting-based frequency decoding procedure; the former reduces the frequency leakage of the off-grid frequencies below the noise level to preserve the sparsity of the signal, while the latter significantly lowers the frequency localization error stemming from the noise. The performance of the proposed method is demonstrated both theoretically and numerically.
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