2018
DOI: 10.1214/17-aos1565
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Multiscale blind source separation

Abstract: We provide a new methodology for statistical recovery of single linear mixtures of piecewise constant signals (sources) with unknown mixing weights and change points in a multiscale fashion. We show exact recovery within an -neighborhood of the mixture when the sources take only values in a known finite alphabet. Based on this we provide the SLAM (Separates Linear Alphabet Mixtures) estimators for the mixing weights and sources. For Gaussian error, we obtain uniform confidence sets and optimal rates (up to log… Show more

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Cited by 14 publications
(15 citation statements)
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“…For an arbitrary given test vectorp (which may depend on Y), we define the multiscale statistic (11,(17)(18)(19) Tn(p, Y) = max…”
Section: )mentioning
confidence: 99%
“…For an arbitrary given test vectorp (which may depend on Y), we define the multiscale statistic (11,(17)(18)(19) Tn(p, Y) = max…”
Section: )mentioning
confidence: 99%
“…Therefore, recent years have witnessed a renaissance in change-point inference motivated by several applications which require computationally fast and statistically efficient finding of potentially many change-points in large data sets, see e.g. Olshen et al (2004), Siegmund (2013) and Behr et al (2018) for its relevance to cancer genetics, Chen and Zhang (2015) for network analysis, Aue et al (2014) for econometrics, and Hotz et al (2013) for electrophysiology, to name a few. This challenges statistical methodology due to the multiscale nature of these problems (i.e.…”
Section: Introductionmentioning
confidence: 99%
“…Ignoring any sequencing error, we have E(Y |F ) = F. Our aim is to reconstruct both the matrices S and W from the measurement matrix Y . This amounts to a specific type of a finite alphabet blind separation problem [Behr andMunk, 2017, Behr et al, 2018].…”
Section: Methodsmentioning
confidence: 99%