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Unit# Department of Mathematical Statistics

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This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, andconsiderations of statistical and computational efficiency often compel the use of separability of the covariance, when working with random surfaces. We seek to provide efficient alternatives to this ambivalent assumption.In Chapter 2, we study a setting where the covariance structure may fail to be separable locally -- either due to noise contamination or due to the presence of a non-separable short-range dependent signal component. That is, the covariance is an additive perturbation of a separable component by a non-separable but banded component. We introduce non-parametric estimators hinging on shifted partial tracing -- a novel concept enjoying strong denoising properties. We illustrate the usefulness of the proposed methodology on a data set of mortality surfaces.In Chapter 3, we propose a distinctive decomposition of the covariance, which allows us to understand separability as an unconventional form of low-rankness. From this perspective, a separable covariance has rank one. Allowing for a higher rank suggests a structured class in which any covariance can be approximated up to an arbitrary precision. The key notion of the partial inner product allows us to generalize the power iteration method to general Hilbert spaces and estimate the aforementioned decomposition from data. Truncation and retention of the leading terms automatically induces a non-parametric estimator of the covariance, whose parsimony is dictated by the truncation level. Advantages of this approach, allowing for estimation beyond separability, are demonstrated on the task of classification of EEG signals.While Chapters 2 and 3 propose several generalizations of separability in the densely sampled regime, Chapter 4 deals with the sparse regime, where the latent surfaces are observed only at few irregular locations. Here, a separable covariance estimator based on local linear smoothers is proposed, which is the first non-parametric utilization of separability in the sparse regime. The assumption of separability reduces the intrinsically four-dimensional smoothing problem into several two-dimensional smoothers and allows the proposed estimator to retain the classical minimax-optimal convergence rate for two-dimensional smoothers. The proposed methodology is used for a qualitative analysis of implied volatility surfaces corresponding to call options, and for prediction of the latent surfaces based on information from the entire data set, allowing for uncertainty quantification. Our quantitative results show that the proposed methodology outperforms the common approach of pre-smoothing every implied volatility surface separately.Throughout the thesis, we put emphasis on computational aspects, since those are the main reason behind the immense popularity of separability. We show that the covariance structures of Chapters 2 and 3 come with no (asymptotic) computational overhead relative to assuming separability. In fact, the proposed covariance structures can be estimated and manipulated with the same asymptotic costs as the separable model. In particular, we develop numerical algorithms that can be used for efficient inversion, as required e.g.~for prediction. All the methods are implemented in R and available on~GitHub.

Eric Bezzam, Paul Hurley, Sepand Kashani, Matthieu Martin Jean-André Simeoni, Martin Vetterli

Fourier transforms are an often necessary component in many computational tasks, and can be computed efficiently through the fast Fourier transform (FFT) algorithm. However, many applications involve an underlying continuous signal, and a more natural choice would be to work with e.g. the Fourier series (FS) coefficients in order to avoid the additional overhead of translating between the analog and discrete domains. Unfortunately, there exists very little literature and tools for the manipulation of FS coefficients from discrete samples. This paper introduces a Python library called pyFFS for efficient FS coefficient computation, convolution, and interpolation. While the libraries SciPy and NumPy provide efficient functionality for discrete Fourier transform coefficients via the FFT algorithm, pyFFS addresses the computation of FS coefficients through what we call the fast Fourier series (FFS). Moreover, pyFFS includes an FS interpolation method based on the chirp Z-transform that can make it more than an order of magnitude faster than the SciPy equivalent when one wishes to perform interpolation. GPU support through the CuPy library allows for further acceleration, e.g. an order of magnitude faster for computing the 2-D FS coefficients of 1000 x 1000 samples and nearly two orders of magnitude faster for 2-D interpolation. As an application, we discuss the use of pyFFS in Fourier optics. pyFFS is available as an open source package at https://github.com/imagingofthings/pyFFS, with documentation at https://pyffs.readthedocs.io.

2022Alessia Caponera, Victor Panaretos

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.