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Concept

Generalized method of moments

Related publications (23)

A Method of Moments Estimator for Interacting Particle Systems and their Mean Field Limit

Andrea Zanoni

We study the problem of learning unknown parameters in stochastic interacting particle systems with polynomial drift, interaction, and diffusion functions from the path of one single particle in the system. Our estimator is obtained by solving a linear sys ...

Siam Publications2024

Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

Maryam Kamgarpour, Kai Ren

We tackle safe trajectory planning under Gaussian mixture model (GMM) uncertainty. Specifically, we use a GMM to model the multimodal behaviors of obstacles' uncertain states. Then, we develop a mixed-integer conic approximation to the chance-constrained t ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2022

Numerical simulations of gas puff imaging using a multi-component model of the neutral-plasma interaction in the tokamak boundary

Paolo Ricci

A three-dimensional simulation of gas puff imaging (GPI) diagnostics is carried out by using a self-consistent multi-component model of the neutral-plasma interaction. The simulation, based on the drift-reduced Braginskii model for the plasma and a kinetic ...

AIP Publishing2022

The Debiased Spatial Whittle likelihood

Sofia Charlotta Olhede

We provide a computationally and statistically efficient method for estimating the parameters of a stochastic covariance model observed on a regular spatial grid in any number of dimensions. Our proposed method, which we call the Debiased Spatial Whittle l ...

WILEY2022

Adaptive Path Interpolation Method for Sparse Systems: Application to a Censored Block Model

Nicolas Macris, Jean François Emmanuel Barbier, Chun Lam Chan

Recently, a new adaptive path interpolation method has been developed as a simple and versatile scheme to calculate exactly the asymptotic mutual information of Bayesian inference problems defined on dense factor graphs. These include random linear and gen ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2021

Drift Estimation of Multiscale Diffusions Based on Filtered Data

Assyr Abdulle, Andrea Zanoni, Giacomo Garegnani

We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coeffic ...

2023

Sparsely Observed Functional Time Series: Theory and Applications

Tomas Rubin

Functional time series is a temporally ordered sequence of not necessarily independent random curves. While the statistical analysis of such data has been traditionally carried out under the assumption of completely observed functional data, it may well ha ...

EPFL2021

Learning, compression, and leakage: Minimising classification error via meta-universal compression principles

Michael Christoph Gastpar

Learning and compression are driven by the common aim of identifying and exploiting statistical regularities in data, which opens the door for fertile collaboration between these areas. A promising group of compression techniques for learning scenarios is ...

IEEE2021

Wavelet-Based Moment-Matching Techniques for Inertial Sensor Calibration

Jan Skaloud, Stéphane Guerrier, Mehran Khaghani

The task of inertial sensor calibration has required the development of various techniques to take into account the sources of measurement error coming from such devices. The calibration of the stochastic errors of these sensors has been the focus of incre ...

2020

Calibration Aspects of INS Navigation

Philipp Clausen

The use of a Bayesian filter (e.g., Kalman filter) for the fusion of information from satellite positioning and inertial navigation is a common approach in many applications, where the knowledge of position, velocity, and attitude in space are of great int ...

EPFL2019

Optimal Stochastic Sensor Error Modeling based on Actual Impact on Quality of GNSS-INS Integrated Navigation

Jan Skaloud, Stéphane Guerrier, Mehran Khaghani

Proper modeling of stochastic errors in inertial sensors plays a crucial role in the achievable quality of GNSS-INS integration especially with low-cost inertial sensors. Generalized Method of Wavelet Moments (GMWM) can model the underlying process for suc ...

2019

Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning

Daniel Kuhn, Viet Anh Nguyen, Peyman Mohajerin Esfahani, Soroosh Shafieezadeh Abadeh

Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely many training s ...

2019

Reconstructing the Drizzle Mode of the Raindrop Size Distribution Using Double-Moment Normalization

Alexis Berne, Timothy Hugh Raupach

Commonly used disdrometers tend not to accurately measure concentrations of very small drops in the raindrop size distribution (DSD), either through truncation of the DSD at the small-drop end or because of large uncertainties on these measurements. Recent ...

AMER METEOROLOGICAL SOC2019

Sequential model identification of reaction systems-The missing path between the incremental and simultaneous approaches

Dominique Bonvin, Julien Léo Billeter, Sriniketh Srinivasan

Modeling chemical reaction systems is an important but complex task. The identified kinetic model must be able to explain all the underlying rate processes such as chemical reactions and heat and mass transfers. Traditionally, the modeling task is carried ...

2019

Adaptive Path Interpolation for Sparse Systems: Application to a Simple Censored Block Model

Nicolas Macris, Jean François Emmanuel Barbier, Chun Lam Chan

A new adaptive path interpolation method has been recently developed as a simple and versatile scheme to calculate exactly the asymptotic mutual information of Bayesian inference problems defined on dense factor graphs. These include random linear and gene ...

IEEE2018

Optimal Rates for Spectral Algorithms with Least-Squares Regression over Hilbert Spaces

Volkan Cevher, Junhong Lin

In this paper, we study regression problems over a separable Hilbert space with the square loss, covering non-parametric regression over a reproducing kernel Hilbert space. We investigate a class of spectral/regularized algorithms, including ridge regressi ...

2020

Generalized Incremental Model Identification for Chemical Reaction Systems

Dominique Bonvin, Julien Léo Billeter, Diogo Filipe Mateus Rodrigues, Adrien Oulevey

Identification of kinetic models and estimation of kinetic parameters in chemical reaction systems can be done using Incremental Model Identification (IMI). By using IMI, it is possible to separate the effect of the different reactions and thus investigate ...

2017

Retrieval of the raindrop size distribution from polarimetric radar data using double-moment normalisation

Alexis Berne, Timothy Hugh Raupach

A new technique for estimating the raindrop size distribution (DSD) from polarimetric radar data is proposed. Two statistical moments of the DSD are estimated from polarimetric variables, and the DSD is reconstructed using a double-moment normalisation. Th ...

Copernicus GmbH2017

The regularized tau estimator: A robust and efficient solution to ill-posed linear inverse problems

Martin Vetterli, Benjamin Bejar Haro, Marta Martinez-Camara

Linear inverse problems are ubiquitous. Often the measurements do not follow a Gaussian distribution. Additionally, a model matrix with a large condition number can complicate the problem further by making it ill-posed. In this case, the performance of pop ...

2017

Functional data analysis by matrix completion

Marie-Hélène Descary

Traditional approaches to analysing functional data typically follow a two-step procedure, consisting in first smoothing and then carrying out a functional principal component analysis. The idea underlying this procedure is that functional data are well ap ...

EPFL2017