46 citations · 72 across the 45 of their papers we have counts for
7 papers · 1 filter
Sparse plus Low rank Network Identification: A Nonparametric Approach
Mattia Zorzi, Alessandro Chiuso
Modeling and identification of high-dimensional stochastic processes is ubiquitous in many fields. In particular, there is a growing interest in modeling stochastic processes with…
Robust Kalman Filtering under Model Perturbations
Mattia Zorzi
We consider a family of divergence-based minimax approaches to perform robust filtering. The mismodeling budget, or tolerance, is specified at each time increment of the model. Mor…
On the Robustness of the Bayes and Wiener Estimators under Model Uncertainty
Mattia Zorzi
This paper deals with the robust estimation problem of a signal given noisy observations. We assume that the actual statistics of the signal and observations belong to a ball about…
Sparse plus low-rank autoregressive identification in neuroimaging time series
Raphaël Liégeois, Bamdev Mishra, Mattia Zorzi +1
This paper considers the problem of identifying multivariate autoregressive (AR) sparse plus low-rank graphical models. Based on the corresponding problem formulation recently pres…
A New Recursive Least-Squares Method with Multiple Forgetting Schemes
Francesco Fraccaroli, Andrea Peruffo, Mattia Zorzi
We propose a recursive least-squares method with multiple forgetting schemes to track time-varying model parameters which change with different rates. Our approach hinges on the re…
A Bayesian Approach to Sparse plus Low rank Network Identification
Mattia Zorzi, Alessandro Chiuso
We consider the problem of modeling multivariate time series with parsimonious dynamical models which can be represented as sparse dynamic Bayesian networks with few latent nodes.…
On the convergence of a Risk Sensitive like Filter
Mattia Zorzi, Bernard C. Levy
In this paper, we analyze the convergence of a risk sensitive like filter where the risk sensitivity parameter is time varying. Such filter has a Kalman like structure and its gain…