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math.ST2022★ 2 cited
Matrix Denoising with Partial Noise Statistics: Optimal Singular Value Shrinkage of Spiked F-Matrices
Matan Gavish, William Leeb, Elad Romanov
We study the problem of estimating a large, low-rank matrix corrupted by additive noise of unknown covariance, assuming one has access to additional side information in the form of…
math.ST2022★ 2 cited
Tyler's and Maronna's M-estimators: Non-Asymptotic Concentration Results
Elad Romanov, Gil Kur, Boaz Nadler
Tyler's and Maronna's M-estimators, as well as their regularized variants, are popular robust methods to estimate the scatter or covariance matrix of a multivariate distribution. I…
cs.IT2022
On the Role of Channel Capacity in Learning Gaussian Mixture Models
Elad Romanov, Tamir Bendory, Or Ordentlich
This paper studies the sample complexity of learning the unknown centers of a balanced Gaussian mixture model (GMM) in with spherical covariance matrix $σ^2\math…