Robust Estimation of Sparse Signal with Unknown Sparsity Cluster Value

Eduard Belitser*, Nurzhan Nurushev, Paulo Serra

*Corresponding author for this work

Research output: Chapter in Book / Report / Conference proceedingConference contributionAcademicpeer-review

Abstract

In the signal+noise model, we assume that the signal has a more general sparsity structure in the sense that the majority of signal coordinates are equal to some value which is assumed to be unknown, contrary to the classical sparsity context where one knows the sparsity cluster value (typically, zero by default). We apply an empirical Bayes approach (linked to the penalization method) for inference on the signal, possibly sparse in this more general sense. The resulting method is robust in that we do not need to know the sparsity cluster value; in fact, the method extracts as much generalized sparsity as there is in the underlying signal. However, as compared to the case of known sparsity cluster value, the proposed robust method cannot be reduced to thresholding procedure anymore. We propose two new procedures: the empirical Bayes model averaging (EBMA) and empirical Bayes model selection (EBMS) procedures, respectively. The former is procedure realized by an MCMC algorithm based on the partial (mixed) normal–normal conjugacy build in our modeling stage, and the latter is based on a new optimization algorithm of complexity. We perform simulations to demonstrate how the proposed procedures work and accommodate possible systematic error in the sparsity cluster value.

Original languageEnglish
Title of host publicationNonparametric Statistics
Subtitle of host publication4th ISNPS, Salerno, Italy, June 2018
EditorsMichele La Rocca, Brunero Liseo, Luigi Salmaso
PublisherSpringer
Pages77-87
Number of pages11
ISBN (Electronic)9783030573065
ISBN (Print)9783030573058
DOIs
Publication statusPublished - 2020
Event4th Conference of the International Society for Nonparametric Statistics, ISNPS 2018 - Salerno, Italy
Duration: 11 Jun 201815 Jun 2018

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume339
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Conference

Conference4th Conference of the International Society for Nonparametric Statistics, ISNPS 2018
CountryItaly
CitySalerno
Period11/06/1815/06/18

Keywords

  • Empirical Bayes
  • Sparce signal
  • Unknow sparsity cluster value

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