### 2015

Elvira, Victor; Martino, Luca; Luengo, David; Corander, Jukka

A Gradient Adaptive Population Importance Sampler Inproceedings

In: 2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), pp. 4075–4079, IEEE, Brisbane, 2015, ISBN: 978-1-4673-6997-8.

Abstract | Links | BibTeX | Tags: adaptive extensions, adaptive importance sampler, Adaptive importance sampling, gradient adaptive population, gradient matrix, Hamiltonian Monte Carlo, Hessian matrices, Hessian matrix, learning (artificial intelligence), Machine learning, MC methods, Monte Carlo, Monte Carlo methods, population Monte Carlo (PMC), proposal densities, Signal processing, Sociology, statistics, target distribution

@inproceedings{Elvira2015a,

title = {A Gradient Adaptive Population Importance Sampler},

author = {Victor Elvira and Luca Martino and David Luengo and Jukka Corander},

url = {http://ieeexplore.ieee.org/lpdocs/epic03/wrapper.htm?arnumber=7178737 http://www.tsc.uc3m.es/~velvira/papers/ICASSP2015_elvira.pdf},

doi = {10.1109/ICASSP.2015.7178737},

isbn = {978-1-4673-6997-8},

year = {2015},

date = {2015-04-01},

booktitle = {2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)},

pages = {4075--4079},

publisher = {IEEE},

address = {Brisbane},

abstract = {Monte Carlo (MC) methods are widely used in signal processing and machine learning. A well-known class of MC methods is composed of importance sampling and its adaptive extensions (e.g., population Monte Carlo). In this paper, we introduce an adaptive importance sampler using a population of proposal densities. The novel algorithm dynamically optimizes the cloud of proposals, adapting them using information about the gradient and Hessian matrix of the target distribution. Moreover, a new kind of interaction in the adaptation of the proposal densities is introduced, establishing a trade-off between attaining a good performance in terms of mean square error and robustness to initialization.},

keywords = {adaptive extensions, adaptive importance sampler, Adaptive importance sampling, gradient adaptive population, gradient matrix, Hamiltonian Monte Carlo, Hessian matrices, Hessian matrix, learning (artificial intelligence), Machine learning, MC methods, Monte Carlo, Monte Carlo methods, population Monte Carlo (PMC), proposal densities, Signal processing, Sociology, statistics, target distribution},

pubstate = {published},

tppubtype = {inproceedings}

}

### 2009

Djuric, Petar M; Miguez, Joaquin

Model Assessment with Kolmogorov-Smirnov Statistics Inproceedings

In: 2009 IEEE International Conference on Acoustics, Speech and Signal Processing, pp. 2973–2976, IEEE, Taipei, 2009, ISSN: 1520-6149.

Abstract | Links | BibTeX | Tags: Bayesian methods, Computer Simulation, Context modeling, Electronic mail, Filtering, ill-conditioned problem, Kolmogorov-Smirnov statistics, model assessment, modelling, Predictive models, Probability, statistical analysis, statistics, Testing

@inproceedings{Djuric2009,

title = {Model Assessment with Kolmogorov-Smirnov Statistics},

author = {Petar M Djuric and Joaquin Miguez},

url = {http://ieeexplore.ieee.org/lpdocs/epic03/wrapper.htm?arnumber=4960248},

issn = {1520-6149},

year = {2009},

date = {2009-01-01},

booktitle = {2009 IEEE International Conference on Acoustics, Speech and Signal Processing},

pages = {2973--2976},

publisher = {IEEE},

address = {Taipei},

abstract = {One of the most basic problems in science and engineering is the assessment of a considered model. The model should describe a set of observed data and the objective is to find ways of deciding if the model should be rejected. It seems that this is an ill-conditioned problem because we have to test the model against all the possible alternative models. In this paper we use the Kolmogorov-Smirnov statistic to develop a test that shows if the model should be kept or it should be rejected. We explain how this testing can be implemented in the context of particle filtering. We demonstrate the performance of the proposed method by computer simulations.},

keywords = {Bayesian methods, Computer Simulation, Context modeling, Electronic mail, Filtering, ill-conditioned problem, Kolmogorov-Smirnov statistics, model assessment, modelling, Predictive models, Probability, statistical analysis, statistics, Testing},

pubstate = {published},

tppubtype = {inproceedings}

}

Maiz, Cristina S; Miguez, Joaquin; Djuric, Petar M

Particle Filtering in the Presence of Outliers Inproceedings

In: 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, pp. 33–36, IEEE, Cardiff, 2009, ISBN: 978-1-4244-2709-3.

Abstract | Links | BibTeX | Tags: computer simulations, Degradation, Filtering, multidimensional random variates, Multidimensional signal processing, Multidimensional systems, Nonlinear tracking, Outlier detection, predictive distributions, Signal processing, signal processing tools, signal-power observations, spatial depth, statistical analysis, statistical distributions, statistics, Target tracking, Testing

@inproceedings{Maiz2009,

title = {Particle Filtering in the Presence of Outliers},

author = {Cristina S Maiz and Joaquin Miguez and Petar M Djuric},

url = {http://ieeexplore.ieee.org/lpdocs/epic03/wrapper.htm?arnumber=5278645},

isbn = {978-1-4244-2709-3},

year = {2009},

date = {2009-01-01},

booktitle = {2009 IEEE/SP 15th Workshop on Statistical Signal Processing},

pages = {33--36},

publisher = {IEEE},

address = {Cardiff},

abstract = {Particle filters have become very popular signal processing tools for problems that involve nonlinear tracking of an unobserved signal of interest given a series of related observations. In this paper we propose a new scheme for particle filtering when the observed data are possibly contaminated with outliers. An outlier is an observation that has been generated by some (unknown) mechanism different from the assumed model of the data. Therefore, when handled in the same way as regular observations, outliers may drastically degrade the performance of the particle filter. To address this problem, we introduce an auxiliary particle filtering scheme that incorporates an outlier detection step. We propose to implement it by means of a test involving statistics of the predictive distributions of the observations. Specifically, we investigate the use of a proposed statistic called spatial depth that can easily be applied to multidimensional random variates. The performance of the resulting algorithm is assessed by computer simulations of target tracking based on signal-power observations.},

keywords = {computer simulations, Degradation, Filtering, multidimensional random variates, Multidimensional signal processing, Multidimensional systems, Nonlinear tracking, Outlier detection, predictive distributions, Signal processing, signal processing tools, signal-power observations, spatial depth, statistical analysis, statistical distributions, statistics, Target tracking, Testing},

pubstate = {published},

tppubtype = {inproceedings}

}

### 2008

Koch, Tobias; Lapidoth, Amos

On Multipath Fading Channels at High SNR Inproceedings

In: 2008 IEEE International Symposium on Information Theory, pp. 1572–1576, IEEE, Toronto, 2008, ISBN: 978-1-4244-2256-2.

Abstract | Links | BibTeX | Tags: channel capacity, Delay, discrete time systems, discrete-time channels, Entropy, Fading, fading channels, Frequency, Mathematical model, multipath channels, multipath fading channels, noncoherent channel model, Random variables, Signal to noise ratio, signal-to-noise ratios, SNR, statistics, Transmitters

@inproceedings{Koch2008,

title = {On Multipath Fading Channels at High SNR},

author = {Tobias Koch and Amos Lapidoth},

url = {http://ieeexplore.ieee.org/articleDetails.jsp?arnumber=4595252},

isbn = {978-1-4244-2256-2},

year = {2008},

date = {2008-01-01},

booktitle = {2008 IEEE International Symposium on Information Theory},

pages = {1572--1576},

publisher = {IEEE},

address = {Toronto},

abstract = {This paper studies the capacity of discrete-time multipath fading channels. It is assumed that the number of paths is finite, i.e., that the channel output is influenced by the present and by the L previous channel inputs. A noncoherent channel model is considered where neither transmitter nor receiver are cognizant of the fading's realization, but both are aware of its statistic. The focus is on capacity at high signal-to-noise ratios (SNR). In particular, the capacity pre-loglog-defined as the limiting ratio of the capacity to loglog(SNR) as SNR tends to infinity-is studied. It is shown that, irrespective of the number of paths L, the capacity pre-loglog is 1.},

keywords = {channel capacity, Delay, discrete time systems, discrete-time channels, Entropy, Fading, fading channels, Frequency, Mathematical model, multipath channels, multipath fading channels, noncoherent channel model, Random variables, Signal to noise ratio, signal-to-noise ratios, SNR, statistics, Transmitters},

pubstate = {published},

tppubtype = {inproceedings}

}

Koch, Tobias; Lapidoth, Amos

Multipath Channels of Unbounded Capacity Inproceedings

In: 2008 IEEE 25th Convention of Electrical and Electronics Engineers in Israel, pp. 640–644, IEEE, Eilat, 2008, ISBN: 978-1-4244-2481-8.

Abstract | Links | BibTeX | Tags: channel capacity, discrete-time capacity, Entropy, Fading, fading channels, Frequency, H infinity control, Information rates, multipath channels, multipath fading channels, noncoherent, noncoherent capacity, path gains decay, Signal to noise ratio, statistics, Transmitters, unbounded capacity

@inproceedings{Koch2008b,

title = {Multipath Channels of Unbounded Capacity},

author = {Tobias Koch and Amos Lapidoth},

url = {http://ieeexplore.ieee.org/articleDetails.jsp?arnumber=4736611},

isbn = {978-1-4244-2481-8},

year = {2008},

date = {2008-01-01},

booktitle = {2008 IEEE 25th Convention of Electrical and Electronics Engineers in Israel},

pages = {640--644},

publisher = {IEEE},

address = {Eilat},

abstract = {The capacity of discrete-time, noncoherent, multipath fading channels is considered. It is shown that if the variances of the path gains decay faster than exponentially, then capacity is unbounded in the transmit power.},

keywords = {channel capacity, discrete-time capacity, Entropy, Fading, fading channels, Frequency, H infinity control, Information rates, multipath channels, multipath fading channels, noncoherent, noncoherent capacity, path gains decay, Signal to noise ratio, statistics, Transmitters, unbounded capacity},

pubstate = {published},

tppubtype = {inproceedings}

}