Convergence Rate Of Estimator Research Articles

Adaptive Model Predictive Control Scheme Based on Non-Minimal State Space Representation

The model predictive control (MPC) technique is widely employed in process industries as a control scheme. The quality of the model used greatly influences the performance of the MPC. In time-varying systems, the plant model plays a critical role in determining the controller’s performance, as the controller’s control action relies on an adaptive model. Therefore, updating the system parameters rapidly and symmetrically in time-varying systems becomes necessary. To address this need, in the proposed work, a non-minimal state space model of a time-varying system is utilized for parameter estimation, and these parameters are updated at every sampling instant using a multi-innovation recursive least squares (MIRLS) scheme, which enables the timely updates of system parameters. We have explored various extensions of the recursive least square (RLS) scheme, such as the multi-innovation recursive least squares (MIRLS) method. This extension aims to achieve a higher convergence rate for parameter estimation. Furthermore, we have focused on the parameter estimation of a non-minimal state space time-varying system, where the system parameters change at each time interval. Additionally, we have incorporated a time-varying objective function into the MPC formulations, which enables adaptability to change the system dynamics. To demonstrate the applicability of our proposed approach, we have conducted simulation experiments using a benchmark time-varying model. These experiments showcase the effectiveness and benefits of our proposed methodology in dealing with time-varying systems.

An Adaptive and Robust Deep Learning Framework for THz Ultra-Massive MIMO Channel Estimation

Terahertz ultra-massive MIMO (THz UM-MIMO) is envisioned as one of the key enablers of 6G wireless networks, for which channel estimation is highly challenging. Traditional analytical estimation methods are no longer effective, as the enlarged array aperture and the small wavelength result in a mixture of far-field and near-field paths, constituting a hybrid-field channel. Deep learning (DL)-based methods, despite the competitive performance, generally lack theoretical guarantees and scale poorly with the size of the array. In this paper, we propose a general DL framework for THz UM-MIMO channel estimation, which leverages existing iterative channel estimators and is with provable guarantees. Each iteration is implemented by a fixed point network (FPN), consisting of a closed-form linear estimator and a DL-based non-linear estimator. The proposed method perfectly matches the THz UM-MIMO channel estimation due to several unique advantages. First, the complexity is low and adaptive. It enjoys provable linear convergence with a low per-iteration cost and monotonically increasing accuracy, which enables an adaptive accuracy-complexity tradeoff. Second, it is robust to practical distribution shifts and can directly generalize to a variety of heavily out-of-distribution scenarios with almost no performance loss, which is suitable for the complicated THz channel conditions. For practical usage, the proposed framework is further extended to wideband THz UM-MIMO systems with beam squint effect. Theoretical analysis and extensive simulation results are provided to illustrate the advantages over the state-of-the-art methods in estimation accuracy, convergence rate, complexity, and robustness.

Neural Networks for Partially Linear Quantile Regression

Deep learning has enjoyed tremendous success in a variety of applications but its application to quantile regression remains scarce. A major advantage of the deep learning approach is its flexibility to model complex data in a more parsimonious way than nonparametric smoothing methods. However, while deep learning brought breakthroughs in prediction, it is not well suited for statistical inference due to its black box nature. In this article, we leverage the advantages of deep learning and apply it to quantile regression where the goal is to produce interpretable results and perform statistical inference. We achieve this by adopting a semiparametric approach based on the partially linear quantile regression model, where covariates of primary interest for statistical inference are modeled linearly and all other covariates are modeled nonparametrically by means of a deep neural network. In addition to the new methodology, we provide theoretical justification for the proposed model by establishing the root-n consistency and asymptotically normality of the parametric coefficient estimator and the minimax optimal convergence rate of the neural nonparametric function estimator. Across several simulated and real data examples, the proposed model empirically produces superior estimates and more accurate predictions than various alternative approaches.

A spline-assisted semiparametric approach to nonparametric measurement error models

A spline-assisted approach is proposed to handle the measurement error problem in treating the pollution and asthma data. It is well known that the minimax rate of convergence in nonparametric regression function estimation of a random variable measured with error is much slower than the rate in the error free case. A different problem is considered. It is shown that if one is willing to impose a relatively mild assumption in requiring that the error-prone variable has a compact support, then standard nonparametric results are obtainable for measurement error models. New and constructive methods to take full advantage of the compact support assumption via spline-assisted semiparametric methods are proposed. It is proven that the new estimator achieves the usual nonparametric rate as if there were no measurement error. Furthermore it is shown that similar spline approach can be used to assess the probability density function on a compact set, using observations with error, and the resulting estimator differs from the true density function only by a constant scale. In addition, it retains the nonparametric density convergence properties of the error free case. The performance of the new methods is demonstrated through simulations and the methods are implemented to analyze the relation between asthma and pollution.

Enhancing model estimation accuracy and convergence rate in hysteresis modeling of MFC actuators using modified differential evolution algorithm

This paper presents a study on improving the estimation accuracy and convergence rate of hysteresis modeling of MFC actuators using mutation enhanced differential evolution (MEDE) algorithm, a modified version of the differential evolution algorithm. The proposed MEDE algorithm uses three mutation strategies, i.e., best, rand, and pbest. To model the secondary path of a smart flexible beam with MFC actuators, a Hammerstein model that combines an asymmetric Bouc-Wen model with an ARX model connected in series is proposed. The fitness function values of the Hammerstein model are compared with evolutionary algorithms.

Uniform almost sure convergence rate of wavelet estimator for regression model with mixed noise

ABSTRACT This article considers a non parametric estimation problem in a regression model with mixed noise. A wavelet estimator is proposed by using projection of wavelet coefficients estimators. Uniform almost sure convergence rate of this wavelet estimator is derived under some mild conditions. It should be pointed out that the convergence rate of the wavelet estimator coincides with the optimal strong uniform convergence rate of non parametric estimations. Finally, simulation studies illustrate the good performances of the wavelet estimator.

Uniform and [formula omitted] convergences for nonparametric continuous time regressions with semiparametric applications

We obtain uniform and Lp convergence rates of kernel type nonparametric estimators for the instantaneous conditional mean and variance functions of continuous time regressions, where the regressor is assumed to be a general recurrent diffusion. Our asymptotics are developed under a general set-up, with a shrinking sampling interval and an increasing time span, and without the stationarity assumption. Based on our convergence results, we develop a semiparametric inferential procedure for continuous time predictive regressions. In particular, a robust semiparametric likelihood ratio test for linear predictability is proposed, with its limit distribution established. We also apply our convergence results to obtain the asymptotics of a semiparametric maximum likelihood estimator of the drift of recurrent diffusions. In our simulation study, we examine the finite sample performance of our robust test against several existing tests in the literature. An empirical illustration is presented to test the predictability of the excess returns of two major stock indices using the commonly used dividend–price ratio and earnings–price ratio as the predictor.

Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis

We consider the estimation and uncertainty quantification of the tail spectral density, which provide a foundation for tail spectral analysis of tail dependent time series. The tail spectral density has a particular focus on serial dependence in the tail, and can reveal dependence information that is otherwise not discoverable by the traditional spectral analysis. Understanding the convergence rate of tail spectral density estimators and finding rigorous ways to quantify their statistical uncertainty, however, still stand as a somewhat open problem. The current article aims to fill this gap by providing a novel asymptotic theory on quadratic forms of tail statistics in the double asymptotic setting, based on which we develop the consistency and the long desired central limit theorem for tail spectral density estimators. The results are then used to devise a clean and effective method for constructing confidence intervals to gauge the statistical uncertainty of tail spectral density estimators, and it can be turned into a visualization tool to aid practitioners in examining the tail dependence for their data of interest. Numerical examples including data applications are presented to illustrate the developed results.

A modified Salp Swarm Algorithm for parameter estimation of fractional-order chaotic systems

For the parameter estimation problem in research related to the fractional-order chaotic systems (FOCSs), a modified optimization algorithm based on Salp Swarm Algorithm (SSA) was developed in this paper. The proposed algorithm introduced several improvements on SSA: adding a grouping step, introducing “betrayal” behavior, and improving the update method of the followers. We applied multiple classical optimization algorithms to conduct the parameter estimation experiments on the fractional-order Lorenz chaotic system (Lorenz-FOCS) and the fractional-order Financial chaotic system (Financial-FOCS). In addition, we explored the impact of searching space on parameters estimation through experiments. The experimental results confirmed the feasibility of the modified Salp Swarm Algorithm (MSSA). The MSSA performed better than the SSA and other classical optimization algorithms in terms of the estimation accuracy and convergence rate.

Robust transfer learning of high-dimensional generalized linear model

This paper studies transfer learning of a high-dimensional generalized linear model with the target model as well as source data from different but possibly related models. Both known and unknown transferable domain settings are considered. On the one hand, an improved two-step transfer learning algorithm is proposed and the optimal rate of convergence for estimation is proved when the set of transferable domain is known. On the other hand, when the set of transferable domain is unknown, we propose a data-driven procedure for transfer learning, called Stepwise Selection algorithm, and investigate its finite-sample performance through simulations studies. Experimental results on six datasets demonstrate that the proposed method can perform better.

Estimation and Inference for High-Dimensional Generalized Linear Models with Knowledge Transfer

Transfer learning provides a powerful tool for incorporating data from related studies into a target study of interest. In epidemiology and medical studies, the classification of a target disease could borrow information across other related diseases and populations. In this work, we consider transfer learning for high-dimensional generalized linear models (GLMs). A novel algorithm, TransHDGLM, that integrates data from the target study and the source studies is proposed. Minimax rate of convergence for estimation is established and the proposed estimator is shown to be rate-optimal. Statistical inference for the target regression coefficients is also studied. Asymptotic normality for a debiased estimator is established, which can be used for constructing coordinate-wise confidence intervals of the regression coefficients. Numerical studies show significant improvement in estimation and inference accuracy over GLMs that only use the target data. The proposed methods are applied to a real data study concerning the classification of colorectal cancer using gut microbiomes, and are shown to enhance the classification accuracy in comparison to methods that only use the target data.

Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity

We aim at estimating in a non-parametric way the density π of the stationary distribution of a d-dimensional stochastic differential equation , for , from the discrete observations of a finite sample ,…, with . We propose a kernel density estimator and we study its convergence rates for the pointwise estimation of the invariant density under anisotropic Hölder smoothness constraints. First of all, we find some conditions on the discretization step that ensures it is possible to recover the same rates as if the continuous trajectory of the process was available. As proven in the recent work [Amorino C, Gloter A. Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes; 2021. arXiv preprint arXiv:2110.02774], such rates are optimal and new in the context of density estimator. Then we deal with the case where such a condition on the discretization step is not satisfied, which we refer to as the intermediate regime. In this new regime we identify the convergence rate for the estimation of the invariant density over anisotropic Hölder classes, which is the same convergence rate as for the estimation of a probability density belonging to an anisotropic Hölder class, associated to n iid random variables . After that we focus on the asynchronous case, in which each component can be observed at different time points. Even if the asynchronicity of the observations complexifies the computation of the variance of the estimator, we are able to find conditions ensuring that this variance is comparable to the one of the continuous case. We also exhibit that the non-synchronicity of the data introduces additional bias terms in the study of the estimator.

Uniform convergence rates for spot volatility estimation

Uniform convergence rates for spot volatility estimation

Moment convergence rate of estimators in partially linear models under AANA errors

Moment convergence rate of estimators in partially linear models under AANA errors

Multi‐objective optimization‐based robust fault estimation observer design for fuzzy singularly perturbed systems with time‐varying state delays

SummaryIn this paper, the problem of multi‐objective robust fault estimation based on observer is addressed for T‐S fuzzy nonlinear singularly perturbed systems with time‐varying state delay and external disturbance. Under performance constraint, a fuzzy augmented fault estimation observer is introduced to improve the performance of actuator and sensor fault estimation simultaneously. The sufficient conditions for the existence of fault estimator are given in the form of LMIs, where ‐dependent Lyapunov function is considered. The given multi‐objective fault estimator design strategy has a good ability to suppress external disturbance and ensure the estimation accuracy and convergence rate work well for all . Then the largest stability bound and the best attenuation capacity are guaranteed by deriving a modified optimal algorithm. Finally, two examples are given to illustrate the feasibility and correctness of the proposed design method.

Likelihood estimation of sparse topic distributions in topic models and its applications to Wasserstein document distance calculations

This paper studies the estimation of high-dimensional, discrete, possibly sparse, mixture models in the context of topic models. The data consists of observed multinomial counts of p words across n independent documents. In topic models, the p×n expected word frequency matrix is assumed to be factorized as a p×K word-topic matrix A and a K×n topic-document matrix T. Since columns of both matrices represent conditional probabilities belonging to probability simplices, columns of A are viewed as p-dimensional mixture components that are common to all documents while columns of T are viewed as the K-dimensional mixture weights that are document specific and are allowed to be sparse. The main interest is to provide sharp, finite sample, ℓ1-norm convergence rates for estimators of the mixture weights T when A is either known or unknown. For known A, we suggest MLE estimation of T. Our nonstandard analysis of the MLE not only establishes its ℓ1 convergence rate, but also reveals a remarkable property: the MLE, with no extra regularization, can be exactly sparse and contain the true zero pattern of T. We further show that the MLE is both minimax optimal and adaptive to the unknown sparsity in a large class of sparse topic distributions. When A is unknown, we estimate T by optimizing the likelihood function corresponding to a plug in, generic, estimator Aˆ of A. For any estimator Aˆ that satisfies carefully detailed conditions for proximity to A, we show that the resulting estimator of T retains the properties established for the MLE. Our theoretical results allow the ambient dimensions K and p to grow with the sample sizes. Our main application is to the estimation of 1-Wasserstein distances between document generating distributions. We propose, estimate and analyze new 1-Wasserstein distances between alternative probabilistic document representations, at the word and topic level, respectively. We derive finite sample bounds on the estimated proposed 1-Wasserstein distances. For word level document-distances, we provide contrast with existing rates on the 1-Wasserstein distance between standard empirical frequency estimates. The effectiveness of the proposed 1-Wasserstein distances is illustrated by an analysis of an IMDB movie reviews data set. Finally, our theoretical results are supported by extensive simulation studies.

A stabilizer free weak Galerkin finite element method for second‐order Sobolev equation

AbstractIn this study, we consider a stabilizer free weak Galerkin (SFWG) finite element method to solve a second‐order Sobolev equation. The SFWG method has various assets, including the support for higher order of accuracy and fewer coefficients. We have analyzed error estimates for both semidiscrete and fully discrete schemes using a non‐standard projection operator. The convergence rate of numerical error estimates of in norm and in norm are obtained, which are two order higher than the optimal order associated with WG finite element space At last, several numerical examples are reported to validate the supercloseness property and efficiency of the proposed SFWG method. These experiments confirm the accuracy of the theoretical findings.

Minimax estimation in multi-task regression under low-rank structures

This study investigates the minimaxity of a multi-task nonparametric regression problem. We formulate a simultaneous function estimation problem based on information pooling across multiple experiments under a low-dimensional structure. A nonparametric reduced rank regression estimator based on the nuclear norm penalisation scheme is proposed to incorporate the low-dimensional structure in the estimation process. A rank of a set of functions is defined in terms of their Fourier coefficients to formally characterise the dependence structure among functions. Minimax upper and lower bounds are established under various asymptotic scenarios to examine the role of the low-rank structure in determining optimal rates of convergence. The results confirm that exploiting the low-rank structure can significantly improve the convergence rate for the simultaneous estimation of multiple functions. The results also imply that the proposed estimator is rate optimal in the minimax sense for the rank-constraint Sobolev class of vector-valued functions.

Empirical‐process‐based specification tests for diffusion models

AbstractWe develop two joint tests for the parametric drift and volatility functions of a diffusion model based on empirical processes. One key feature of our joint tests is that they account for different convergence rates of parameter estimators. The tests are of classical Kolmogorov–Smirnov and Cramér–von Mises types, and are asymptotically distribution free. The proposed tests have nontrivial power against a class of local alternatives with different convergence rates for the drift and volatility terms. Monte Carlo simulations show that the tests perform quite well in finite samples and outperform the nonparametric test of Hong and Li. The new tests are applied to EUR/USD exchange rate data and generate some interesting empirical findings that are consistent with our theoretical results and simulation studies.

Power system abnormal pattern detection for new energy big data

Abstract The energy crisis is a problem that countries all over the world pay more and more attention to, and a series of ecological problems caused by it have become increasingly prominent. It is difficult for traditional fossil fuels to maintain a healthy and coordinated sustainable development of society and economy. The establishment of a sustainable energy system has become the development trend of various countries to solve energy problems. Electric energy is a secondary energy that all primary energy can be converted into, and an irreplaceable consumable for all industrial technologies and people’s lives. Electric power data has the characteristics of large rate span, numerous data sources, complicated interaction methods, and various types of data. The existence of abnormal data in the power system will greatly reduce the accuracy of the system state estimation and the state estimation convergence rate. This paper introduces the power grid industrial control system, combines the data flow of power big data, and analyzes the abnormal information detection process in detail. It takes the data stream acquired by the acquisition unit PMU of the wide area measurement system as the research object. The rapid development of the Hadoop big data platform provides important technical support for the research of power grid big data. Based on the Hadoop platform, the clustering algorithm is used to complete the anomaly detection of real-time data. The LOF algorithm has poor performance when dealing with a large amount of high-dimensional data, and has high time and space complexity. In order to make up for the shortcomings of the LOF algorithm, this paper uses the K-means clustering algorithm to propose an improved algorithm K-LOF of the density-based local abnormal factor detection algorithm LOF, and optimizes the neighborhood query process. It is verified by experiments that the K-LOF algorithm can effectively reduce the time complexity of the anomaly detection algorithm and improve the detection accuracy by 2–4.2%.