Optimal shrinkage of singular values under noise with separable covariance & its application to fetal ECG analysis

Data Science Seminar

Pei-Chun Su (Duke University)

You may attend the talk either in person in Walter 402 or register via Zoom. Registration is required to access the Zoom webinar.


High dimensional noisy dataset is commonly encountered in many scientific fields, and a critical step in data analysis is denoising. Under the white noise assumption, optimal shrinkage has been well-developed and widely applied to many problems. However, in practice, noise is usually colored and dependent, and the algorithm needs modification. We introduce a novel fully data-driven optimal shrinkage algorithm when the noise satisfies the separable covariance structure. The novelty involves a precise rank estimation and an accurate imputation strategy. In addition to showing theoretical supports under the random matrix framework, we show the performance of our algorithm in simulated datasets and apply the algorithm to extract fetal electrocardiogram from the benchmark trans-abdominal maternal electrocardiogram, which is a special single-channel blind source separation challenge.

Start date
Tuesday, Dec. 13, 2022, 1:25 p.m.
End date
Tuesday, Dec. 13, 2022, 2:25 p.m.

Walter Library 402 or Zoom