Estimation of covariance matrices

Science formelle
Statistique
Inférence statistique
Statistique multivariée

Publications associées (30)

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DESI mock challenge Halo and galaxy catalogues with the bias assignment method

Cheng Zhao, Ginevra Favole, Yu Yu

Context. We present a novel approach to the construction of mock galaxy catalogues for large-scale structure analysis based on the distribution of dark matter halos obtained with effective bias models at the field level. Aims. We aim to produce mock galaxy ...

EDP SCIENCES S A2023

Spatiotemporal wildfire modeling through point processes with moderate and extreme marks

Jonathan Koh Boon Han

Accurate spatiotemporal modeling of conditions leading to moderate and large wildfires provides better understanding of mechanisms driving fire-prone ecosystems and improves risk management. Here, we develop a joint model for the occurrence intensity and t ...

2023

CovNet: Covariance networks for functional data on multidimensional domains

Victor Panaretos, Soham Sarkar

Covariance estimation is ubiquitous in functional data analysis. Yet, the case of functional observations over multidimensional domains introduces computational and statistical challenges, rendering the standard methods effectively inapplicable. To address ...

WILEY2022

Covariance matrices for variance-suppressed simulations

Cheng Zhao

Cosmological N-body simulations provide numerical predictions of the structure of the Universe against which to compare data from ongoing and future surveys, but the growing volume of the Universe mapped by surveys requires correspondingly lower statistica ...

OXFORD UNIV PRESS2022

Testing For The Rank Of A Covariance Operator

Victor Panaretos

How can we discern whether the covariance operator of a stochastic pro-cess is of reduced rank, and if so, what its precise rank is? And how can we do so at a given level of confidence? This question is central to a great deal of methods for functional dat ...

INST MATHEMATICAL STATISTICS-IMS2022

Random Surface Covariance Estimation by Shifted Partial Tracing

Victor Panaretos, Tomas Masák

The problem of covariance estimation for replicated surface-valued processes is examined from the functional data analysis perspective. Considerations of statistical and computational efficiency often compel the use of separability of the covariance, even ...

2023

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

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, and considerations of statistical and com ...

EPFL2022

Optimal denoising of rotationally invariant rectangular matrices

Florent Gérard Krzakala, Lenka Zdeborová, Emanuele Troiani, Vittorio Erba

In this manuscript we consider denoising of large rectangular matrices: given a noisy observation of a signal matrix, what is the best way of recovering the signal matrix itself? For Gaussian noise and rotationally-invariant signal priors, we completely ch ...

2022

On Randomized Trace Estimates for Indefinite Matrices with an Application to Determinants

Daniel Kressner, Alice Cortinovis

Randomized trace estimation is a popular and well-studied technique that approximates the trace of a large-scale matrix B by computing the average of x(T) Bx for many samples of a random vector X. Often, B is symmetric positive definite (SPD) but a number ...

2022

Euclid : Effects of sample covariance on the number counts of galaxy clusters

Georges Meylan, Yi Wang, Richard Massey

Aims. We investigate the contribution of shot-noise and sample variance to uncertainties in the cosmological parameter constraints inferred from cluster number counts, in the context of the Euclid survey. ...

EDP SCIENCES S A2021

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