Robust Scale Estimation in Additive Noise via Weighted Order Statistics
This manuscript develops a non-parametric and robust framework for estimating the scale of additive noise in weakly sparse systems. The method does not require independence, prescribed dependence, or temporal regularity of the noise sequence. We introduce a class of order-statistic estimators based on comparing the sorted observations with deterministic or random proxies generated from a reference noise distribution. This purely spatial approach avoids preliminary filtering or temporal decorrelation, and therefore preserves the sparsity structure of the latent signal. We establish non-asymptotic concentration inequalities for weighted loss functions, with bounds that separate the contribution of the signal from the discrepancy between the ordered noise and the proxy. We then control this proxy discrepancy in independent and correlated regimes, including heavy-tailed reference laws. Finally, we apply the method to high-frequency observations of continuous-time stochastic processes, obtaining scale estimators for fractional Brownian motion and stable L\'evy noise in the presence of lower-variation additive perturbations.