arXiv subjects

Tomas Masak

Publications and source records attributed to Tomas Masak.

7 recordsLinked to original sources

arXiv2026

Tight Majorizations and Convergence Rates of Nuclear Norm Minimization IRLS

Iteratively reweighted least squares (IRLS) methods constitute a natural approach to nuclear norm minimization, but their convergence rates and the role of the weight operator have remained poorly understood. This paper establishes sharp convergence rates for IRLS methods for constrained nuclear norm minimization in low-rank recovery. A central ingredient is a new majorization analysis for the smoothed nuclear norm: we prove that the harmonic-mean weight operator defines a valid global quadratic majorizer. Furthermore, we show that this weight operator is optimal within the family of power-mean weights, clarifying why it improves over classical one-sided reweighting schemes that use only row- or column-space information. Under a Schatten-1 null space property, we prove global linear convergence of IRLS algorithms using a variety of weight operators, including the harmonic-mean weights. For IRLS with harmonic-mean weights, we prove a dimension-independent, locally linear convergence rate. We provide a counterexample showing that this dimension-independent local rate cannot in general be obtained for IRLS algorithms using one-sided weight operators, which predominate in the literature. Numerical experiments corroborate the theoretical results and illustrate the practical advantage of harmonic-mean reweighting across square, rectangular, and adversarially initialized recovery problems.

cs.LG↗

arXiv2026

Amplitude-Phase Analysis of the COVID-19 Point Process and the Early Countermeasures

We investigate how governmental restrictions relate to the spread and temporal dynamics of COVID-19 early in the pandemic. We model daily infection data from each US state as realisations of a point process, taking the random intensity measure to be the latent object of interest and, crucially, allowing these realisations to vary not only in magnitude but also in the temporal dynamics. By non-parametrically separating these amplitude and phase variations, we examine how government restrictions relate to each source of variability, relating the infection curves to the Oxford Stringency Index, which we treat as a measure on the same time window. Employing Wasserstein PCA, we analyse the temporal variability of both the infections and the restrictions. We then use the resulting scores, together with the scalars representing the overall stringency budget and the total infection count, as inputs to a linear vector-on-vector regression model. Our findings suggest that, when considering the separate contributions of amplitude and phase variability, earlier implementation of restrictions is associated with flatter infection curves. By contrast, we do not find significant evidence of an association between stringency and total infection counts, nor between the overall stringency budget and the infection outcomes considered.

stat.AP↗

arXiv2026

Testing Covariance Separability in High Dimensions

Separability is an important structural assumption often placed on the covariance when working with matrix-variate data, because it greatly simplifies both interpretation and computation of subsequent covariance-based statistical tasks. Yet testing the separability assumption is difficult in the high-dimensional regime. We propose to test separability by recasting the problem as a sphericity test after whitening the data using the separable maximum likelihood estimate of the covariance. The test is calibrated by Monte Carlo simulation, yielding finite-sample level control. Furthermore, we prove the test's high-dimensional consistency under dense alternatives. To reduce its reliance on distributional assumptions, we introduce an angular version of the test based on radial normalization after whitening. We demonstrate the practical utility, empirical power, and computational efficiency of the prop

stat.ME↗

arXiv2023

The Functional Graphical Lasso

We consider the problem of recovering conditional independence relationships between $p$ jointly distributed Hilbertian random elements given $n$ realizations thereof. We operate in the sparse high-dimensional regime, where $n \ll p$ and no element is related to more than $d \ll p$ other elements. In this context, we propose an infinite-dimensional generalization of the graphical lasso. We prove model selection consistency under natural assumptions and extend many classical results to infinite dimensions. In particular, we do not require finite truncation or additional structural restrictions. The plug-in nature of our method makes it applicable to any observational regime, whether sparse or dense, and indifferent to serial dependence. Importantly, our method can be understood as naturally arising from a coherent maximum likelihood philosophy.

stat.ME↗

arXiv2022

Separable Expansions for Covariance Estimation

The non-parametric estimation of covariance lies at the heart of functional data analysis, whether for curve or surface-valued data. The case of a two-dimensional domain poses both statistical and computational challenges, which are typically alleviated by assuming separability. However, separability is often questionable, sometimes even demonstrably inadequate. We propose a framework for the analysis of covariance operators of random surfaces that generalises separability, while retaining its major advantages. Our approach is based on the expansion of the covariance into a series of separable terms. The expansion is valid for any covariance over a two-dimensional domain. Leveraging the key notion of the partial inner product, we extend the power iteration method to general Hilbert spaces and show how the aforementioned expansion can be efficiently constructed in practice. Truncation of the expansion and retention of the leading terms automatically induces a non-parametric estimator of the covariance, whose parsimony is dictated by the truncation level. The resulting estimator can be calculated, stored and manipulated with little computational overhead relative to separability. Consistency and rates of convergence are derived under mild regularity assumptions, illustrating the trade-off between bias and variance regulated by the truncation level. The merits and practical performance of the proposed methodology are demonstrated in a comprehensive simulation study and on classification of EEG signals.

math.ST↗

arXiv2021

Random Surface Covariance Estimation by Shifted Partial Tracing

The problem of covariance estimation for replicated surface-valued processes is examined from the functional data analysis perspective. Considerations of statistical and computational efficiency often compel the use of separability of the covariance, even though the assumption may fail in practice. We consider a setting where the covariance structure may fail to be separable locally -- either due to noise contamination or due to the presence of a~non-separable short-range dependent signal component. That is, the covariance is an additive perturbation of a separable component by a~non-separable but banded component. We introduce non-parametric estimators hinging on the novel concept of shifted partial tracing, enabling computationally efficient estimation of the model under dense observation. Due to the denoising properties of shifted partial tracing, our methods are shown to yield consistent estimators even under noisy discrete observation, without the need for smoothing. Further to deriving the convergence rates and limit theorems, we also show that the implementation of our estimators, including prediction, comes at no computational overhead relative to a separable model. Finally, we demonstrate empirical performance and computational feasibility of our methods in an extensive simulation study and on a real data set.

stat.ME↗

arXiv2021

Inference and Computation for Sparsely Sampled Random Surfaces

Non-parametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the densely observed regime. Instead, we consider the sparse regime, where the latent surfaces are observed only at few irregular locations with additive measurement error, and propose an estimator of covariance based on local linear smoothers. Consequently, the assumption of separability reduces the intrinsically four-dimensional smoothing problem into several two-dimensional smoothers and allows the proposed estimator to retain the classical minimax-optimal convergence rate for two-dimensional smoothers. Even when separability fails to hold, imposing it can be still advantageous as a form of regularization. A simulation study reveals a favorable bias-variance trade-off and massive speed-ups achieved by our approach. Finally, the proposed methodology is used for qualitative analysis of implied volatility surfaces corresponding to call options, and for prediction of the latent surfaces based on information from the entire data set, allowing for uncertainty quantification. Our cross-validated out-of-sample quantitative results show that the proposed methodology outperforms the common approach of pre-smoothing every implied volatility surface separately.

stat.ME↗