Gaussian approximations in high dimensional estimation

DOI10.1016/J.SYSCONLE.2016.03.001zbMATH Open1338.93354OpenAlexW2316888874MaRDI QIDQ286514FDOQ286514

Authors: Raaz Dwivedi, Neeraja Sahasrabudhe, Vivek Borkar 

Publication date: 20 May 2016

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2016.03.001

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zbMATH Keywords

random projectionslog-concave distributionsGaussian approximationshigh dimensional estimationstochastic sparsity

Mathematics Subject Classification ID

Large-scale systems (93A15) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Near-Optimal Signal Recovery From Random Projections: Universal Encoding Strategies?
• On the mathematical foundations of learning
• A mathematical introduction to compressive sensing
• Pointwise estimates for marginals of convex bodies
• A central limit theorem for convex sets
• High-dimensional distributions with convexity properties
• For 𝑛>3 there is only one finitely additive rotationally invariant measure on the 𝑛-sphere defined on all Lebesgue measurable subsets
• Solution of Shannon’s problem on the monotonicity of entropy
• Tail estimates for norms of sums of log-concave random vectors
• Power-law estimates for the central limit theorem for convex sets

Cited In (10)

• Gaussian approximation for high dimensional time series
• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Approximating the moments of marginals of high-dimensional distributions
• Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
• Computing tail areas for a high-dimensional Gaussian mixture
• Parameter estimation in high dimensional Gaussian distributions
• Effective Two-Stage Estimation for a Linear Function of High-Dimensional Gaussian Means
• HIGH DIMENSIONAL ESTIMATION VIA SUM-OF-SQUARES PROOFS
• Estimation in high dimensions: a geometric perspective
• The double Gaussian approximation for high frequency data

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