Thesis (Ph. D.)--University of Chicago, Dept. of Statistics, June 2002. / Includes bibliographical references (p. 123-132) Also available on the Internet.

Thesis--Wisconsin. / Vita. Includes bibliographical references (leaves 68-69).

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D.Phil. (Mathematical Statistics) / Fractional Brownian motion and its increment process, fractional Gaussian noise, are syn- onymous with the concept of long range dependence. A strictly stationary time series is said to exhibit long range dependence or long memory if its autocorrelations decrease to zero as a power of the lag, but their sum over all lags is not absolutely convergent. This phenomenon has been observed in numerous scientific areas such as hydrology, ethernet traffic data, stock returns and exchange rates, to name just a few. The extent of long memory dependence is characterized by the value of the so called Hurst exponent or Hurst coefficient H. Approximate normality and unbiasedness of the maximum likelihood estimate of H hold reasonably well for sample sizes as small as 20 if the mean and scale parameters are known. We show in a Monte Carlo study that if the latter two parameters are unknown, the bias and variance of the maximum likelihood estimate of H both increase substantially. We also show that the bias can be reduced by using a jackknife or parametric bootstrap proce- dure. However, in very large samples, maximum likelihood estimation becomes problematic because of the large dimension of the covariance matrix that must be inverted. We consider an approach for estimating the Hurst exponent by taking first order differ- ences of fractional Gaussian noise. We find that this differenced process has short memory and that, consequently, we may assume approximate independence between the estimates of the Hurst exponents in disjoint blocks of data. We split the data into a number of con- tiguous blocks, each containing a relatively small number of observations. Computation of the likelihood function in a block then presents no computational problem. We form a pseudo likelihood function consisting of the product of the likelihood functions in each of the blocks and provide a formula for the standard error of the resulting estimator of H. This formula is shown in a Monte Carlo study to provide a good approximation to the true standard error. Application of the methodology is illustrated in two data sets. The long memory property of a time series is primarily characterized by H. In general, such series are exceptionally long, therefore it is natural to enquire whether or not H remains constant over the full extent of the time series. We propose a number of tests for the hypothesis that H remains constant, against an alternative of a change in one or more values of H. Formulas are given to enable calculation of asymptotic p-values. We also propose a permutational procedure for evaluating exact p-values. The proposed tests are applied to three sets of data.

Phase Retrieval is an inference problem where one seeks to recover an unknown complex-valued 𝓃-dimensional signal vector from the magnitudes of 𝓶 linear measurements. The linear measurements are specified using a 𝓶 × 𝓃 sensing matrix. This problem is a mathematical model for imaging systems arising in X-ray crystallography and other applications where it is infeasible to acquire the phase of the measurements. This dissertation presents some results regarding the analysis of this problem in the high-dimensional asymptotic regime where the number of measurements and the signal dimension diverge proportionally so that their ratio remains fixed. A limitation of existing high-dimensional analyses of this problem is that they model the sensing matrix as a random matrix with independent and identically (i.i.d.) distributed Gaussian entries. In practice, this matrix is highly structured with limited randomness. This work studies a correction to the i.i.d. Gaussian sensing model, known as the sub-sampled Haar sensing model which faithfully captures a crucial orthogonality property of realistic sensing matrices. The first result of this thesis provides a precise asymptotic characterization of the performance of commonly used spectral estimators for phase retrieval in the sub-sampled Haar sensing model. This result can be leveraged to tune certain parameters involved in the spectral estimator optimally. The second part of this dissertation studies the information-theoretic limits for better-than-random (or weak) recovery in the sub-sampled Haar sensing model. The main result in this part shows that appropriately tuned spectral methods achieve weak recovery with the information-theoretically optimal number of measurements. Simulations indicate that the performance curves derived for the sub-sampled Haar sensing model accurately describe the empirical performance curves for realistic sensing matrices such as randomly sub-sampled Fourier sensing matrices and Coded Diffraction Pattern (CDP) sensing matrices. The final part of this dissertation tries to provide a mathematical understanding of this empirical universality phenomenon: For the real-valued version of the phase retrieval problem, the main result of the final part proves that the dynamics of a class of iterative algorithms, called Linearized Approximate Message Passing schemes, are asymptotically identical in the sub-sampled Haar sensing model and a real-valued analog of the sub-sampled Fourier sensing model.

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We observe a stochastic process 𝑌 on [0,1]^𝑑 (𝑑 ≥ 1) satisfying 𝑑𝑌(𝑡)=𝑛¹/²𝑓(𝑡)𝑑𝑡 + 𝑑𝑊(𝑡), 𝑡 ∈ [0,1]^𝑑, where 𝑛 ≥ 1 is a given scale parameter (`sample size'), 𝑊 is the standard Brownian sheet on [0,1]^𝑑 and 𝑓 ∈ L₁([0,1]^𝑑) is the unknown function of interest. We propose a multivariate multiscale statistic in this setting and prove that the statistic attains a subexponential tail bound; this extends the work of 'Dumbgen and Spokoiny (2001)' who proposed the analogous statistic for 𝑑=1. In the process, we generalize Theorem 6.1 of 'Dumbgen and Spokoiny (2001)' about stochastic processes with sub-Gaussian increments on a pseudometric space, which is of independent interest. We use the proposed multiscale statistic to construct optimal tests (in an asymptotic minimax sense) for testing 𝑓 = 0 versus (i) appropriate Hölder classes of functions, and (ii) alternatives of the form 𝑓 = 𝜇_𝑛𝕀_{𝐵_𝑛}$, where 𝐵_𝑛 is an axis-aligned hyperrectangle in [0,1]^𝑑 and 𝜇_𝑛 ∈ ℝ; 𝜇_𝑛 and 𝐵_𝑛 unknown. In Chapter 3 we use this proposed multiscale statistics to construct honest confidence bands for multivariate shape-restricted regression including monotone and convex functions.

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In this thesis, we propose a statistical framework for estimating correlation between sensor systems measuring diverse physical phenomenon. We consider systems that measure at different temporal frequencies and measure responses with different dimensionalities. Our goal is to provide estimates of correlation between all pairs of sensors and use this information to flag potentially anomalous readings. Our anomaly detection method consists of two primary components: dimensionality reduction through projection and Gaussian process (GP) regression. We use non-metric multidimensional scaling to project a partially observed and potentially non-definite covariance matrix into a low dimensional manifold. The projection is estimated in such a way that positively correlated sensors are close to each other and negatively correlated sensors are distant. We then fit a Gaussian process given these positions and use it to make predictions at our observed locations. Because of the large amount of data we wish to consider, we develop methods to scale GP estimation by taking advantage of the replication structure in the data. Finally, we introduce a semi-supervised method to incorporate expert input into a GP model. We are able to learn a probability surface defined over locations and responses based on sets of points labeled by an analyst as either anomalous or nominal. This allows us to discount the influence of points resembling anomalies without removing them based on a threshold. / Ph. D.

We study an informative path planning problem where the goal is to minimize the time required to learn a spatial field. Specifically, our goal is to ensure that the mean square error between the learned and actual fields is below a predefined value. We study three versions of the problem. In the placement version, the objective is to minimize the number of measurement locations. In the mobile robot version, we seek to minimize the total time required to visit and collect measurements from the measurement locations. A multi-robot version is studied as well where the objective is to minimize the time required by the last robot to return back to a common starting location called depot. By exploiting the properties of Gaussian Process regression, we present constant-factor approximation algorithms that ensure the required guarantees. In addition to the theoretical results, we also compare the empirical performance using a real-world dataset with other baseline strategies. / M. S. / We solve the problem of measuring a physical phenomenon accurately using a team of robots in minimum time. Examples of such phenomena include the amount of nitrogen present in the soil within a farm and concentration of harmful chemicals in a water body etc. Knowing accurately the extent of such quantities is important for a variety of economic and environmental reasons. For example, knowing the content of various nutrients in the soil within a farm can help the farmers to improve the yield and reduce the application of fertilizers, the concentration of certain chemicals inside a water body may affect the marine life in various ways. In this thesis, we present several algorithms which can help robots to be deployed efficiently to quantify such phenomena accurately. Traditionally, robots had to be teleoperated. The algorithms proposed in this thesis enable robots to work more autonomously.