prompt_front: Now, answer the following question based on the text below, only give me the answer and do not output any other words.

Question: What is the electron correlation parameter, $\Gamma_e$?

Read the following text and answer briefly.

Context 1: \section{Introduction}

Ultracold neutral plasmas studied in the laboratory offer access to a regime of plasma physics that scales to describe thermodynamic aspects of important high-energy-density systems, including strongly coupled astrophysical plasmas \cite{VanHorn,Burrows}, as well as terrestrial sources of neutrons \cite{Hinton,Ichimaru_fusion,Atzeni,Boozer} and x-ray radiation \cite{Rousse,Esarey}   Yet, under certain conditions, low-temperature laboratory plasmas evolve with dynamics that are governed by the quantum mechanical properties of their constituent particles, and in some cases by coherence with an external electromagnetic field    

The relevance of ultracold plasmas to such a broad scope of problems in classical and quantum many-body physics has given rise to a great deal of experimental and theoretical research on these systems since their discovery in the late 90s   A series of reviews affords a good overview of progress in the last twenty years \cite{Gallagher,Killian_Science,PhysRept,Lyon}   Here, we focus on the subset of ultracold neutral plasmas that form via kinetic rate processes from state-selected Rydberg gases, and emphasize in particular the distinctive dynamics found in the evolution of molecular ultracold plasmas   

While molecular beam investigations of threshold photoionization spectroscopy had uncovered relevant effects a few years earlier \cite{Scherzer,Alt}, the field of ultracold plasma physics began in earnest with the 1999 experiment of Rolston and coworkers on metastable xenon atoms cooled in a magneto optical trap (MOT) \cite{Killian}   

This work and many subsequent efforts tuned the photoionization energy as a means to form a plasma of very low electron temperature built on a strongly coupled cloud of ultracold ions   Experiment and theory soon established that fast processes associated with disorder-induced heating and longer-time electron-ion collisional rate processes act to elevate the ion temperatures to around one degree Kelvin, and constrain the effective initial electron temperature to a range above 30 K \cite{Kuzmin,Hanson,Laha}   

This apparent limit on the thermal energy of the electrons can be more universally expressed for an expanding plasma by saying that the electron correlation parameter, $\Gamma_e$, does not exceed 0 25, where, 
\begin{equation}
\Gamma_e = \frac{e^2}{4\pi \epsilon_0 a_{ws}}\frac{1}{k_B T_e}
\label{eqn:gamma_e}
\end{equation}
defines the ratio of the average unscreened electron-electron potential energy to the electron kinetic energy   $a_{ws}$ is the Wigner-Seitz radius, related to the electron density by, $\rho_e = 1/(\frac{4}{3} \pi a_{ws}^3)$   These plasmas of weakly coupled electrons and strongly coupled ions have provided an important testing ground for ion transport theory and the study of electron-ion collision physics \cite{Strickler} 

Soon after the initial reports of ultracold plasmas formed by direct photoionization, a parallel effort began with emphasis on the plasma that forms spontaneously by Penning ionization and electron-impact avalanche in a dense ultracold Rydberg gas \cite{Mourachko}   This process affords less apparent control of the initial electron temperature   But, pulsed field-ionization measurements soon established that the photoionized plasma and that formed by the avalanche of a Rydberg gas both evolve to quasi-equilibria of electrons, ions and high-Rydberg neutrals \cite{Rolston_expand,Gallagher}   

Early efforts to understand plasmas formed by Rydberg gas avalanche paid particular attention to the process of initiation   Evolution to plasma in effusive atomic beams was long known for high-Rydberg gases of caesium and well explained by coupled rate equations \cite{Vitrant}   But, low densities and ultracold velocity distributions were thought to exclude Rydberg-Rydberg collisional mechanisms in a MOT   

In work on ultracold Rydberg gases of Rb and Cs, Gallagher, Pillet and coworkers describe the initial growth of electron signal by a model that includes ionization by blackbody radiation and collisions with a background of uncooled Rydberg atoms \cite{Mourachko,Gallagher,Li,Comparat,Tanner}  This picture was subsequently refined to include many-body excitation and autoionization, as well as attractive dipole-dipole interactions \cite{Viteau,Pillet}, later confirmed by experiments at Rice \cite{Mcquillen}   

The Orsay group also studied the effect of adding Rydberg atoms to an established ultracold plasma   They found that electron collisions in this environment completely ionize added atoms, even when selected to have deep binding energies \cite{Vanhaecke}   They concluded from estimates of electron trapping efficiency that the addition of Rydberg atoms does not significantly alter the electron temperature of the plasma   

Tuning pair distributions by varying the wavelength of the excitation laser, Weidem\"uller and coworkers confirmed the mechanical effects of van der Waals interactions on the rates of Penning ionization in ultracold $^{87}$Rb Rydberg gases \cite{Amthor_mech}   They recognized blackbody radiation as a possible means of final-state redistribution, and extended this mechanical picture to include long-range repulsive interactions \cite{Amthor_model}   This group later studied the effects of spatial correlations in the spontaneous avalanche of Rydberg gases in a regime of strong blockade, suggesting a persistence of initial spatial correlations \cite{RobertdeSaintVincent}   

Robicheaux and coworkers have recently investigated the question of prompt many-body ionization from the point of view of Monte Carlo classical trajectory calculations \cite{Goforth}   For atoms on a regular or random grid driven classically by an electromagnetic field, they find that many-body excitation enhances prompt ionization by about twenty percent for densities greater than $5 6 \times 10^{-3}/(n_0^2 a_0)^3$, where $n_0$ is the principal quantum number of the Rydberg gas and $a_0$ is the Bohr radius   They observed that density fluctuations (sampled from the distribution of nearest neighbour distances) have a greater effect, and point to the possible additional influence of secondary electron-Rydberg collisions and the Penning production of fast atoms not considered by the model, but already observed by Raithel and coworkers \cite{Knuffman}   

The Raithel group also found direct evidence for electron collisional $\ell$-mixing in a Rb MOT \cite{Dutta}, and used selective field ionization to monitor evolution to plasma on a microsecond timescale in ultracold $^{85}$Rb $65d$ Rydberg gases with densities as low as $10^8$ cm$^{-3}$ \cite{WalzFlannigan}   Research by our group at UBC has observed very much the same dynamics in the relaxation of Xe Rydberg gases of similar density prepared in a molecular beam \cite{Hung2014}   In both cases, the time evolution to avalanche is well-described by coupled rate equations (see below), assuming an initializing density of Penning electrons determined by Robicheaux's criterion \cite{Robicheaux05}, applied to an Erlang distribution of Rydberg-Rydberg nearest neighbours   

Theoretical investigations of ultracold plasma physics have focused for the most part on the long- and short-time dynamics of plasmas formed by direct photoionization \cite{PhysRept,Lyon}   In addition to studies mentioned above, key insights on the evolution dynamics of Rydberg gases have been provided by studies of Pohl and coworkers exploring the effects of ion correlations and recombination-reionization on the hydrodynamics of plasma expansion \cite{Pohl:2003,PPR}   Further research has drawn upon molecular dynamics (MD) simulations to reformulate rate coefficients for the transitions driven by electron impact between highly excited Rydberg states \cite{PVS}, and describe an effect of strong coupling as it suppresses three-body recombination \cite{Bannasch:2011}   MD simulations confirm the accuracy of coupled rate equation descriptions for systems with $\Gamma$ as large as 0 3   Newer calculations suggest a strong connection between the order created by dipole blockade in Rydberg gases and the most favourable correlated distribution of ions in a corresponding strongly coupled ultracold plasma \cite{Bannasch:2013}   

Tate and coworkers have studied ultracold plasma avalanche and expansion theoretically as well as experimentally   Modelling observed expansion rates, they recently found that $^{85}$Rb atoms in a MOT form plasmas with effective initial electron temperatures determined by initial Rydberg density and the selected initial binding energy, to the extent that these parameters determine the fraction of the excited atoms that ionize by electron impact in the avalanche to plasma \cite{Forest}   This group also returned to the question of added Rydberg atoms, and managed to identify a crossover in $n_0$, depending on the initial electron temperature, that determines whether added Rydberg atoms of a particular initial binding energy act to heat or cool the electron temperature \cite{Crockett}    

Our group has focused on the plasma that evolves from a Rydberg gas under the low-temperature conditions of a skimmed, seeded supersonic molecular beam   In work on nitric oxide starting in 2008 \cite{Morrison2008,Plasma_expan,Morrison_shock,PCCP}, we established an initial kinetics of electron impact avalanche ionization that conforms with coupled rate equation models \cite{Saquet2011,Saquet2012,Scaling,haenelCP} and agrees at early times with the properties of ultracold plasmas that evolve from ultracold atoms in a MOT   We have also observed unique properties of the NO ultracold plasma owing to the fact that its Rydberg states dissociate \cite{Haenel2017}, and identified relaxation pathways that may give rise to quantum effects \cite{SousMBL,SousNJP}   The remainder of this review focuses on the nitric oxide ultracold plasma and the unique characteristics conferred by its evolution from a Rydberg gas in a laser-crossed molecular beam   


\section{Avalanche to strong coupling in a molecular Rydberg gas}

\subsection{The molecular beam ultracold plasma compared with a MOT}

When formed with sufficient density, a Rydberg gas of principal quantum number $n_0>30$ undergoes a spontaneous avalanche to form an ultracold plasma \cite{Li,Morrison2008,RobertdeSaintVincent}   Collisional rate processes combine with ambipolar hydrodynamics to govern the properties of the evolving plasma   For a molecular Rydberg gas, neutral fragmentation, occurs in concert with electron-impact ionization, three-body recombination and electron-Rydberg inelastic scattering   Neutral dissociation combined with radial expansion in a shaped distribution of charged particles, can give rise to striking effects of self-assembly and spatial correlation \cite{Schulz-Weiling2016,Haenel2017}    

The formation of a molecular ultracold plasma requires the conditions of local temperature and density afforded by a high mach-number skimmed supersonic molecular beam   Such a beam propagates at high velocity in the laboratory, with exceedingly well-defined hydrodynamic properties, including a propagation-distance-dependent density and sub-Kelvin temperature in the moving frame \cite{MSW_tutorial}   The low-temperature gas in a supersonic molecular beam differs in three important ways from the atomic gas laser-cooled in a magneto-optical trap (MOT) 

The milli-Kelvin temperature of the gas of ground-state NO molecules entrained in a beam substantially exceeds the sub-100 micro-Kelvin temperature of laser-cooled atoms in a MOT   However, the evolution to plasma tends to erase this distinction, and the two further characteristics that distinguish a beam offer important advantages for ultracold plasma physics:  Charged-particle densities in a molecular beam can exceed those attainable in a MOT by orders of magnitude   A great many different chemical substances can be seeded in a free-jet expansion, and the possibility this affords to form other molecular ultracold plasmas, introduces interesting and potentially important new degrees of freedom governing the dynamics of their evolution 


\subsection{Supersonic molecular beam temperature and particle density}

Seeded in a skimmed supersonic molecular beam, nitric oxide forms different phase-space distributions in the longitudinal (propagation) and transverse coordinate dimensions   As it propagates in $z$, the NO molecules reach a terminal laboratory velocity, $u_{\parallel}$, of about 1400 ${\rm ms^{-1}}$, which varies with the precise seeding ratio   

The distribution of $v_{\parallel}$, narrows to define a local temperature, $T_{\parallel}$, of approximately 0 5 K   The beam forms a Gaussian spatial distribution in the transverse coordinates, $x$ and $y$   In this plane, the local velocity, $v_{\perp}(r)$ is defined for any radial distance almost entirely by the divergence velocity of the beam, $u_{\perp}(r)$   Phase-space sorting cools the temperature in the transverse coordinates, $T_{\perp}$ to a value as low as $\sim 5$ mK \cite{MSW_tutorial}   

The stagnation pressure and seeding ratio determine the local density distribution as a function of $z$   For example, expanding from a stagnation pressure of 500 kPa with a 1:10 seeding ratio, a molecular beam propagates 2 5 cm to a skimmer and then 7 5 cm to a point of laser interaction, where it contains NO at a peak density of $1 6 \times 10^{14}$ cm$^{-3}$   

Here, crossing the molecular beam with a laser beam tuned to the transition sequence, ${\rm X} ~^2 \Pi_{1/2} ~N'' = 1 \xrightarrow{\omega_1} {\rm A} ~^2\Sigma^+ ~N'=0  \xrightarrow{\omega_2} n_0 f(2)$ forms a Gaussian ellipsoidal volume of Rydberg gas in a single selected principal quantum number, $n_0$, orbital angular momentum, $\ell = 3$, NO$^+$ core rotational quantum number, $N^+ = 2$ and total angular momentum neglecting spin, $N=1$   

A typical $\omega_1$ pulse energy of 2 $\mu$J and a Gaussian width of 0 2 mm serves to drive the first step of this sequence in a regime of linear absorption   Overlapping this volume by an $\omega_2$ pulse with sufficient fluence to saturate the second step forms a Rydberg gas ellipsoid with a nominal peak density of $5 \times 10^{12}$ cm$^{-3}$  \cite{Morrison2008,MSW_tutorial}   Fluctuations in the pulse energy and longitudinal mode of $\omega_1$ cause the real density to vary   For certain experiments, we find it convenient to saturate the $\omega_1$ transition, and vary the density of Rydberg gas by delaying $\omega_2$   An $\omega_1$-$\omega_2$ delay, $\Delta t$, reduces the Rydberg gas density by a precise factor, $e^{-\Delta t/\tau}$, where $\tau$ is the 200 ns radiative lifetime of NO ${\rm A} ~^2\Sigma^+ ~N'=0$ \cite{Carter,Hancock} 


\subsection{Penning ionization}

The density distribution of a Rydberg gas defines a local mean nearest neighbour distance, or Wigner-Seitz radius of $ a_{ws} =  \left(3/4 \pi \rho \right)^{1/3} $, where $\rho$ refers to the local Rydberg gas density   For example, a Rydberg gas with a density of $ \rho_0=0 5 \times 10^{12}$ cm$^{-3} $ forms an Erlang distribution \cite{Torquato 1990} of nearest neighbour separations with a mean value of $ 2 a_{ws}=1 6$  $\mu$m   

A semi-classical model \cite{Robicheaux05} suggests that 90 percent of Rydberg molecule pairs separated by a critical distance, $ r_c = 1 8 \cdot 2 n_0^2 a_0 $ or less undergo Penning ionization within 800 Rydberg periods   We can integrate the Erlang distribution from $ r=0 $ to the critical distance $r = r_c$ for a Rydberg gas of given $n_0$, to define the local density of Penning electrons ($ \rho_e$ at $t=0$) produced by this prompt interaction, for any given initial local density, $\rho_0$ by the expression:
\begin{equation}
\rho_e(\rho_0,n_0) = \frac{0 9}{2} \cdot 4 \pi \rho_0 ^2\int_0^{r_{c}} r^2 \mathrm{e}^{-\frac{4\pi}{3}\rho_0 r^3}\mathrm{d}r \quad 
\label{eqn:Erlang}
\end{equation}

Evaluating this definite integral yields an equation in closed form that predicts the Penning electron density for any particular initial Rydberg density and principal quantum number 
\begin{equation}
\rho_e(\rho_0,n_0) =\frac{0 9 \rho_0}{2}(1-\mathrm{e}^{-\frac{4\pi}{3}\rho_0 r_c^3}) \quad 
\label{Eq:PenDens}
\end{equation}
\begin{figure}[h!]
\centering
\includegraphics[scale=0 33]{Penning_Latice pdf}
\caption{Distributions of ion-ion nearest neighbours following Penning ionization and electron-impact avalanche simulated for a predissociating molecular Rydberg gas of initial principal quantum number, $n_0$, from 30 to 80, and density of 10$^{12}$ cm$^{-3}$   Dashed lines mark corresponding values of $a_{ws}$  Calculated by counting ion distances after relaxation to plasma in 10$^6$-particle stochastic simulations  Integrated areas proportional to populations surviving neutral dissociation }
\label{fig:PL}
\end{figure}

Prompt Penning ionization acts on the portion of the initial nearest-neighbour distribution in the Rydberg gas that lies within $r_c$   When a molecule ionizes, its collision partner relaxes to a lower principal quantum number, $n'<n_0/\sqrt{2}$   This close-coupled interaction disrupts the separability of Rydberg orbital configurations in the Penning partner   This causes mixing with core penetrating states that are strongly dissociative   Penning partners are thus very likely to dissociate, leaving a spatially isolated distribution of ions   We refer to the spatial correlation that results as a Penning lattice \cite{Sadeghi:2014}   The extent of this effect varies depending on the local density and the selected initial principal quantum number   Figure \ref{fig:PL} shows the degree to which Rydberg gases with initial principal quantum numbers from 30 to 80 form a Penning lattice for an initial density of $1 \times 10^{12} ~{\rm cm}^{-3}$   

\subsection{Spontaneous electron-impact avalanche}

The electrons produced by prompt Penning ionization start an electron impact avalanche   The kinetics of this process are well described by a set of coupled rate equations that account for state-to-state electron-Rydberg inelastic scattering, electron-impact ionization and three-body ion-electron recombination \cite{PPR,Saquet2011,Saquet2012,Scaling} using detailed rate coefficients,  $k_{ij}$, $k_{i,ion}$ and $k_{i,tbr}$ validated by MD simulations \cite{PVS}   
\begin{eqnarray}
-\frac{d\rho_i}{dt}&=&\sum_{j}{k_{ij}\rho_e\rho_i}-\sum_{j}{k_{ji}\rho_e\rho_j} \nonumber\\
&& +k_{i,ion}\rho_e\rho_i-k_{i,tbr}\rho^3_e 
  \label{level_i}
\end{eqnarray}
\noindent and,
\begin{equation}
\frac{d\rho_e}{dt}=\sum_{i}{k_{i,ion}\rho_e^2}-\sum_{i}{k_{i,tbr}\rho^3_e}
  \label{electron}
\end{equation}

The relaxation of Rydberg molecules balances with collisional ionization to determine an evolving temperature of avalanche electrons to conserve total energy per unit volume  
\begin{equation}
E_{tot}=\frac{3}{2}k_BT_e(t)\rho_e(t)-R\sum_i{\frac{\rho_i(t)}{n_i^2}},
  \label{energy}
\end{equation}
Here, for simplicity, we neglect the longer-time effects of Rydberg predissociation and electron-ion dissociative recombination \cite{Saquet2012} 

Such calculations show that the conversion from Rydberg gas to plasma occurs on a timescale determined largely by the local Penning electron density, or Penning fraction, $P_f = \rho_e/\rho_0$, which depends on the local density of Rydberg molecules and their initial principal quantum number   

Avalanche times predicted by coupled rate equation calculations range widely   For example, in a model developed for experiments on xenon, simulations predict that a Rydberg gas with $n_0 = 42$ at a density of $8 8 \times 10^8 ~{\rm cm}^{-3}$ ($P_f = 6 \times 10^{-5}$) avalanches with a half time of  40 $\mu$s \cite{Hung2014}   At an opposite extreme, rate equations estimate that a Rydberg gas of NO with $n_0=60$ at a density of $1 \times 10^{12} ~{\rm cm}^{-3}$ ($P_f = 0 3$) rises to plasma in about 2 ns \cite{Saquet2012}   

\begin{figure}[h!]
\centering
\includegraphics[width=  49 \textwidth]{SFI_n=49 pdf}
   \caption{Contour plots showing SFI signal as a function the applied field for an $nf(2)$ Rydberg gas with an initial principal quantum number, $n_0=49$   Each frame represents 4,000 SFI traces, sorted by initial Rydberg gas density   Ramp field beginning at 0 and 150 ns (top, left to right), and  300 and 450 ns (bottom) after the $\omega_2$ laser pulse   The two bars of signal most evident at early ramp field delay times represent the field ionization of the $49f(2)$ Rydberg state respectively to NO$^+$ X $^1\Sigma^+$ cation rotational states, $N^+=0$ and 2   The signal waveform extracted near zero applied field represents the growing population of plasma electrons   
   }
\label{fig:SFI}
\end{figure}

Selective field ionization (SFI) probes the spectrum of binding energies in a Rydberg gas   Applied as a function of time after photoexcitation, SFI maps the evolution from a state of selected initial principal quantum number, $n_0$, to plasma \cite{Haenel2017}   Figure \ref{fig:SFI} shows SFI spectra taken at a sequence of delays after the formation of $49f(2)$ Rydberg gases of varying density     

Here, we can see that a $49f(2)$ Rydberg gas with an estimated initial density $\rho_0 = 3 \times 10^{11} ~{\rm cm}^{-3}$ relaxes to plasma on a timescale of about 500 ns   Observations such as these agree well with the predictions of coupled rate-equation calculations   We can understand this variation in relaxation dynamics with $\rho_0$ and $n_0$ quite simply in terms of the corresponding density of prompt Penning electrons these conditions afford to initiate the avalanche to plasma   

Figure \ref{fig:scaled_rise} illustrates this, showing how rise times predicted by coupled rate-equation simulations for a large range of initial densities and principal quantum number match when plotted as a function of time scaled by the ultimate plasma frequency and fraction of prompt Penning electrons   The dashed line gives an approximate account of the scaled rate of avalanche under all conditions of Rydberg gas density and initial principal quantum number in terms of the simple sigmoidal function:

\begin{equation}
\frac{\rho_e}{\rho_0} = \frac{a}{b+e^{-c\tau}},
  \label{scaledEq1}
\end{equation}
where,
\begin{equation}
\tau = t \omega_e P_f^{3/4},
  \label{scaledEq2}
\end{equation}
in which $\omega_e$ is the plasma frequency after avalanche, $P_f$ is the fraction of prompt Penning electrons, and $a = 0 00062$,  $b =   0 00082$ and $c =     0 075$ are empirical coefficients   

\begin{figure}[h!]
\centering
\includegraphics[width=  4 \textwidth]{sim_analytical_density pdf}
   \caption{Rise in fractional electron density as a function of time scaled by the plasma frequency, $\omega_e$ and fraction, $\rho_e(t=0)/\rho_0 = P_f$, of prompt Penning electrons   Simulation results shown for $n_0 = 30$, 50 and 70 with initial densities, $\rho_0 = 10^9,~10^{10},~10^{11},~{\rm and}~10^{12}~{\rm cm}^{-3}$   
   }
\label{fig:scaled_rise}
\end{figure}


\subsection{Evolution to plasma in a Rydberg gas Gaussian ellipsoid}

As outlined above, the local density and principal quantum number together determine the rate at which a Rydberg gas avalanches to plasma   Our experiment crosses a 2 mm wide cylindrically Gaussian molecular beam with a 1 mm diameter TEM$_{00}$ $\omega_1$ laser beam to produce a Gaussian ellipsoidal distribution of molecules excited to the A $^2\Sigma^+$ $v=0, ~N'=0$ intermediate state   A larger diameter $\omega_2$ pulse then drives a second step that forms a Rydberg gas in a single $n_0f(2)$ state with the spatial distribution of the intermediate state   

We model this shaped Rydberg gas as a system of 100 concentric ellipsoidal shells of varying density \cite{haenelCP}   Coupled rate equations within each shell describe the avalanche to plasma   This rate process proceeds from shell to shell with successively longer induction periods, determined by the local density as detailed above   The rising conversion of Rydberg molecules to ions plus neutral dissociation products conserves the particle number in each shell   We assume that local space charge confines electrons to shells, conserving quasi-neutrality   Electrons exchange kinetic energy at the boundaries of each shell, which determines a single plasma electron temperature   

\begin{figure}[h!]
\centering
\includegraphics[width=  5 \textwidth]{shell_model_100}
   \caption{(top frame) Cross-sectional contour diagram in the $x,y$ plane for $z=0$ describing the distribution of ion plus electron density over 100 shells of Gaussian ellipsoid with initial dimensions, $\sigma_x= 0 75$ mm and $\sigma_y= \sigma_z = 0 42$ mm and an initial $n_0 = 50$ Rydberg gas density, $\rho_0 = 2 \times 10^{11}$ cm$^{3}$ after an evolution time of 100 ns   (bottom frame) Curves describing the (dashed) ascending ion and (solid) descending Rydberg gas densities of each shell as functions of evolution time, for $t=20$, 40, 60, 80 and 100 ns   
   }
\label{fig:shell}
\end{figure}

The upper frame of Figure \ref{fig:shell} shows contours of NO$^+$ ion density after 100 ns obtained from a shell-model coupled rate-equation simulation of the avalanche of a Gaussian ellipsoidal Rydberg gas of nitric oxide with a selected initial state, $50f(2)$ and a density of $2 \times 10^{11}$ cm$^{-3}$   Here, we simulate a relaxation that includes channels of predissociation at every Rydberg level and redistributes the energy released to electrons, which determines a uniform rising electron temperature for all shells   

For comparison, the lower frame plots curves describing the ion density of each shell as a function of time from 20 to 100 ns, as determined by applying Eq \ref{scaledEq1} for the local conditions of initial Rydberg gas density   This numerical approximation contains no provision for predissociation   Coupled rate-equation simulations for uniform volumes show that predissociation depresses yield to some degree, but has less effect on the avalanche kinetics \cite{Saquet2012}   Therefore, we can expect sets of numerically estimated shell densities, scaled to agree with the simulated ion density at the elapsed time of 100 ns to provide a reasonable account of the earlier NO$^+$ density profiles as a function of time    


\begin{figure}[h!]
\centering
\includegraphics[width=  4 \textwidth]{Shell_pop}
   \caption{Global population fractions of particles as they evolve in the avalanche of a shell-model ellipsoidal Rydberg gas with the initial principal quantum number and density distribution of Figure \ref{fig:shell}
   }
\label{fig:shell_yields}
\end{figure}

For each time step, the difference, $\rho_0 - \rho_e$ defines the neutral population of each shell   We assign a fraction of this population to surviving Rydberg molecules, such that the total population of NO$^*$ as a function of time agrees with the prediction of the shell-model simulation, as shown in Figure \ref{fig:shell_yields}   We consider the balance of this neutral population to reflect NO$^*$ molecules that have dissociated to form N($^4$S) $+$ O($^3$P)   Figure \ref{fig:shell} plots these surviving Rydberg densities as a function of radial distance for each evolution time   At the initial density of this simulation, note at each time step that a higher density of Rydberg molecules encloses the tail of the ion density distribution in $x$    

\subsection{Plasma expansion and NO$^+$ - NO$^*$ charge exchange as an avenue of quench}

We regard the ions as initially stationary   The release of electrons creates a radial electric potential gradient, which gives rise to a force, $-e\nabla \phi_{k,j}(t)$, that accelerates the ions in shell $j$ in direction $k$ according to \cite{Sadeghi 2012}:

\begin{align}
\frac{-e}{m'}\nabla \phi_{k,j}(t) = & \frac{\partial u_{k,j}(t)}{\partial t} \notag  \\
= & \frac{k_BT_e(t)}{m'\rho_j(t)} \frac{\rho_{j+1}(t) - \rho_j(t)}{r_{k,j+1}(t) - r_{k,j}(t)},
  \label{dr_dt}
\end{align}

\noindent where $\rho_j(t)$ represents the density of ions in shell $j$   

The instantaneous velocity, $u_{k,j}(t)$ determines the change in the radial coordinates of each shell, $r_{k,j}(t)$, 
\begin{equation}
\frac{\partial r_{k,j}(t)}{\partial t}=u_{k,j}(t) = \gamma_{k,j}(t) r_{k,j}(t),
  \label{dr_dt}
\end{equation}
\noindent which in turn determines shell volume and thus its density, $ \rho_j(t)$    
The electron temperature supplies the thermal energy that drives this ambipolar expansion   Ions accelerate and $T_e$ falls according to: 

\begin{equation}
\frac{3k_B}{2}\frac{\partial T_e(t)}{\partial t}= -\frac{m'}{\sum_{j}{N_j}}\sum_{k,j}{N_j u_{k,j}(t)\frac{\partial u_{k,j}(t)}{\partial t}},
  \label{dr_dt}
\end{equation}
\noindent where we define an effective ion mass, $m'$, that recognizes the redistribution of the electron expansion force over all the NO$^+$ charge centres by resonant ion-Rydberg charge exchange, which occurs with a very large cross section \cite{PPR}   
\begin{equation}
m' =\left (1+ \frac{\rho^*_{j}(t)}{ \rho_j(t)}\right) m ,
  \label{dr_dt}
\end{equation}
\noindent in which $\rho^*_{j}(t)$ represents the instantaneous Rydberg density in shell $j$ 

The initial avalanche in the high-density core of the ellipsoid leaves few Rydberg molecules, so this term has little initial effect   Rydberg molecules predominate in the lower-density wings   There, momentum sharing by charge exchange assumes a greater importance   

We see this most directly in the $\omega_2$ absorption spectrum of transitions to states in the $n_0 f(2)$ Rydberg series, detected as the long-lived signal that survives a flight time of 400 $\mu$s to reach the imaging detector   The balance between the rising density of ions and the falling density of Rydberg molecules depends on the initial density of electrons produced by prompt Penning ionization   As clear from Eq \ref{Eq:PenDens}, this Penning fraction depends sensitively on the principal quantum number, and for all principal quantum numbers, on the initial Rydberg gas density   

\begin{figure}[h!]
\centering
\includegraphics[width=  4 \textwidth]{w2_spectra}
   \caption{Double-resonant spectra of nitric oxide Rydberg states in the $nf$ series converging to NO$^+$ $v=0$, $N^+=2$ (designated, $nf(2)$), derived from the late-peak signal obtained after a flight time of 400 $\mu$s by scanning $\omega_2$ for $\omega_1$ tuned to NO A $^2\Sigma^+$ $v=0$, $N'=0$ for initial $nf(2)$ densities from top to bottom of 0 07, 0 10, 0 13, 0 19, 0 27, 0 30, 0 32 and $3 \times 10^{12}$ cm$^{3}$   
  }
\label{fig:w2_spectra}
\end{figure}

Figure \ref{fig:w2_spectra} shows a series of $\omega_2$ late-signal excitation spectra for a set of initial densities   Here, we see a clear consequence of the higher-order dependence of Penning fraction - and thus the NO$^+$ ion - NO$^*$ Rydberg molecule balance - on $n_0$, the $\omega_2$-selected Rydberg gas initial principal quantum number   This Penning-regulated NO$^+$ ion - NO$^*$ Rydberg molecule balance appears necessary as a critical factor in achieving the long ultracold plasma lifetime required to produce this signal   We are progressing in theoretical work that explains the stability apparently conferred by this balance   


\subsection{Bifurcation and arrested relaxation}

Ambipolar expansion quenches electron kinetic energy as the initially formed plasma expands   Core ions follow electrons into the wings of the Rydberg gas   There, recurring charge exchange between NO$^+$ ions and NO$^*$ Rydberg molecules redistributes the ambipolar force of the expanding electron gas, equalizing ion and Rydberg velocities   This momentum matching effectively channels electron energy through ion motion into the overall $\pm x$ motion of gas volumes in the laboratory   The internal kinetic energy of the plasma, which at this point is defined almost entirely by the ion-Rydberg relative motion, falls   Spatial correlation develops, and over a period of 500 ns, the system forms the plasma/high-Rydberg quasi-equilibrium dramatically evidenced by the SFI results in Figure \ref{fig:SFI}   

\begin{figure}[h!]
\centering
\includegraphics[width=  4 \textwidth]{Bifurcation pdf}
   \caption{$x,y$ detector images of ultracold plasma volumes produced by 2:1 aspect ratio ellipsoidal Rydberg gases with selected initial state, $40f(2)$ after a flight time of 402 $\mu$s over a distance of 575 mm   Lower frame displays the distribution in $x$ of the charge integrated in $y$ and $z$   Both images represent the unadjusted raw signal acquired in each case after 250 shots   
   }
\label{fig:bifurcation}
\end{figure}

In the wings, momentum redistribution owing to cycles of ion-Rydberg charge transfer retards radial expansion \cite{Pohl2003,PPR}   By redirecting electron energy from ambipolar acceleration to $\pm x$ plasma motion, NO$^+$ to NO$^*$ charge exchange dissipates electron thermal energy   This redistribution of energy released in the avalanche of the Rydberg gas to plasma, causes the ellipsoidal Rydberg gas to bifurcate \cite{Schulz-Weiling2016,Haenel2017}, forming very long-lived, separating charged-particle distributions   We capture the electron signal from these recoiling volumes on an imaging detector as pictured in Figure \ref{fig:bifurcation}   Here, momentum matching preserves density and enables ions and Rydberg molecules to relax to positions that minimize potential energy, building spatial correlation   

The semi-classical description of avalanche and relaxation outlined above forms an important point of reference from which to interpret our experimental observations   The laser crossed molecular beam illumination geometry creates a Rydberg gas with a distinctively shaped high-density spatial distribution   This initial condition has an evident effect on the evolution dynamics   We have developed semi-classical models that explicitly consider the coupled rate and hydrodynamic processes governing the evolution from Rydberg gas to plasma using a realistic, ellipsoidal representation of the ion/electron and Rydberg densities \cite{haenelCP}   No combination of initial conditions can produce a simulation that conforms classically with the state of arrested relaxation we observe experimentally  


\subsection{A molecular ultracold plasma state of arrested relaxation}

Thus, we find that spontaneous avalanche to plasma splits the core of an ellipsoidal Rydberg gas of nitric oxide  As ambipolar expansion quenches the electron temperature of this core plasma, long-range, resonant charge transfer from ballistic ions to frozen Rydberg molecules in the wings of the ellipsoid quenches the ion-Rydberg molecule relative velocity distribution  This sequence of steps gives rise to a remarkable mechanics of self-assembly, in which the kinetic energy of initially formed hot electrons and ions drives an observed separation of plasma volumes  These dynamics redistribute ion momentum, efficiently channeling electron energy into a reservoir of mass-transport  This starts a process that evidently anneals separating volumes to a state of cold, correlated ions, electrons and Rydberg molecules  

We have devised a three-dimensional spin model to describe this arrested state of the ultracold plasma in terms of two, three and four-level dipole-dipole energy transfer interactions (spin flip-flops), together with Ising interactions that arise from the concerted pairwise coupling of resonant pairs of dipoles \cite{SousMBL,SousNJP}   

The Hamiltonian includes the effects of onsite disorder owing to the broad spectrum of states populated in the ensemble and the unique electrostatic environment of every dipole   Extending ideas developed for simpler systems \cite{Burin1,Sondhi}, one can make a case for slow dynamics, including an arrest in the relaxation of NO Rydberg molecules to predissociating states of lower principal quantum number 

Systems of higher dimension ought to thermalize by energy transfer that spreads from rare but inevitable ergodic volumes (Griffiths regions) \cite{Sarang2, Roeck_griffith, RareRegions_rev, Thermal_inclusions}   However, a feature in the self-assembly of the molecular ultracold plasma may preclude destabilization by rare thermal domains:  Whenever the quenched plasma develops a delocalizing Griffiths region, the local predissociation of relaxing NO molecules promptly proceeds to deplete that region to a void of no consequence 

In summary, the classical dynamics of avalanche and bifurcation appear to create a quenched condition of low temperature and high disorder in which dipole-dipole interactions drive self-assembly to a localized state purified by the predissociation of thermal regions   We suggest that this state of the quenched ultracold plasma offers an experimental platform for studying quantum many-body physics of disordered systems  \\

\section{Acknowledgments}
This work was supported by the US Air Force Office of Scientific Research (Grant No  FA9550-17-1-0343), together with the Natural Sciences and Engineering research Council of Canada (NSERC), the Canada Foundation for Innovation (CFI) and the British Columbia Knowledge Development Fund (BCKDF)  


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Context 3: Paper Info

Title: Efficient nonparametric estimation of Toeplitz covariance matrices
Publish Date: March 20, 2023
Author List: Karolina Klockmann (from Department of Statistics and Operations Research, Universität Wien), Tatyana Krivobokova (from Department of Statistics and Operations Research, Universität Wien)

Figure

Figure 1: Spectral density functions (first row) and autocovariance functions (second row) for examples 1, 2, 3 
Figure 2: Distance between the first atom and the first center of mass of aquaporin (left) and the opening diameter y t over time t (right) 
black line in the left plot) confirms that the covariance matrix estimated with our VST-DCT method almost completely decorrelates the channel diameter Y on the training data set Next, we estimated the regression coefficients β with the usual PLS algorithm, ignoring the dependence in the data Finally, we estimated β with PLS that takes into account dependence using our covariance estimator Σ Based on these regression coefficient estimators, the prediction on the test set was calculated The plot on the right side of Figure 2 shows the Pearson correlation between the true channel diameter on the test set and the prediction on the same test set based on raw (grey) and decorrelated data (black) 
Figure 3: On the left, the auto-correlation function of Y (grey) and of Σ−1/2 Y (black), where Σ is estimated with the VST-DCT method; On the right, correlation between the true values on the test data set and prediction based on partial least squares (in grey) and corrected partial least squares (black) 
Uniform distributionThe observations follow a uniform distribution with covariance matrices Σ 1 , Σ 2 , Σ 3 of examples 1, 2, 3, i e , Y i = Σ 1/2 j X i , j = 1, 3, with X 1 ,    the parameter innov of the R function arima sim is used to pass the innovations X 1 ,    , X n i i d Table4, 5 and 6 show respectively the results for (A) p = 5000, n = 1, (B) p = 1000, n = 50 and (C) p = 5000, n = 10 
(A) p = 5000, n = 1: Errors of the Toeplitz covariance matrix and the spectral density estimators with respect to the spectral and L 2 norm, respectively, as well as the average computation time of the covariance estimators in seconds for one Monte Carlo sample (last column) 
(C) p = 5000, n = 10: Errors of the Toeplitz covariance matrix and the spectral density estimators with respect to the spectral and L 2 norm, respectively, as well as the average computation time of the covariance estimators in seconds for one Monte Carlo sample (last column) 
(A) p = 5000, n = 1: Errors of the Toeplitz covariance matrix and the spectral density estimators with respect to the spectral norm and the L 2 norm, respectively Average computation time of the covariance estimators in seconds for one Monte Carlo sample (last column) 
(B) p = 1000, n = 50: Errors of the Toeplitz covariance matrix and the spectral density estimators with respect to the spectral norm and the L 2 norm, respectively Average computation time of the covariance estimators in seconds for one Monte Carlo sample (last column) 
(C) p = 5000, n = 10: Errors of the Toeplitz covariance matrix and the spectral density estimators with respect to the spectral norm and the L 2 norm, respectively Average computation time of the covariance estimators in seconds for one Monte Carlo sample (last column) 

abstract

A new nonparametric estimator for Toeplitz covariance matrices is proposed  This estimator is based on a data transformation that translates the problem of Toeplitz covariance matrix estimation to the problem of mean estimation in an approximate Gaussian regression  The resulting Toeplitz covariance matrix estimator is positive definite by construction, fully data-driven and computationally very fast 
Moreover, this estimator is shown to be minimax optimal under the spectral norm for a large class of Toeplitz matrices  These results are readily extended to estimation of inverses of Toeplitz covariance matrices  Also, an alternative version of the Whittle likelihood for the spectral density based on the Discrete Cosine Transform (DCT) is proposed 
The method is implemented in the R package vstdct that accompanies the paper 

Introduction

Estimation of covariance and precision matrices is a fundamental problem in statistical data analysis with countless applications in the natural and social sciences  Covariance matrices with a Toeplitz structure arise in the study of stationary stochastic n = 1, to the best of our knowledge, there is no fully data-driven approach for selecting the banding/tapering/thresholding parameter 
suggested first to split the time series into non-overlapping subseries and then apply the cross-validation criterion of   However, it turns out that the right choice of the subseries length is crucial for this approach, but there is no data-based method available for this  In this work, an alternative way to estimate a Toeplitz covariance matrix and its inverse is chosen 
Our approach exploits the one-to-one correspondence between Toeplitz covariance matrices and their spectral densities  First, the given data are transformed into approximate Gaussian random variables whose mean equals to the logarithm of the spectral density  Then, the log-spectral density is estimated by a periodic smoothing spline with a data-driven smoothing parameter 
Finally, the resulting spectral density estimator is transformed into an estimator for Σ or its inverse  It is shown that this procedure leads to an estimator that is fully data-driven, automatically positive definite and achieves the minimax optimal convergence rate under the spectral norm over a large class of Toeplitz covariance matrices 
In particular, this class includes Toeplitz covariance matrices that correspond to long-memory processes with bounded spectral densities  Moreover, the computation is very efficient, does not require iterative or resampling schemes and allows to apply any inference and adaptive estimation procedures developed in the context of nonparametric Gaussian regression 
Estimation of the spectral density from a stationary time series is a research topic with a long history  Earlier nonparametric methods are based on smoothing of the (log-)periodogram, which itself is not a consistent estimator   Another line of nonparametric methods for estimating the spectral density is based on the Whittle likelihood, which is an ap-proximation to the exact likelihood of the time series in the frequency domain 
For example, estimated the spectral density from a penalized Whittle likelihood, while used polynomial splines to estimate the log-spectral density function maximizing the Whittle likelihood  Recently, Bayesian methods for spectral density estimation have been proposed (see , but these may become very computationally intensive in large samples due to posterior sampling 
The minimax optimal convergence rate for nonparametric estimators of Hölder continuous spectral densities from Gaussian stationary time series was obtained by under the L p , 1 ≤ p ≤ ∞, norm  Only few works on spectral density estimation show the optimality of the corresponding estimators  In particular, and derived convergence rates of their estimators for the log-spectral density under the L 2 norm, while neglecting the Whittle likelihood approximation error 
In general, most works on spectral density estimation do not exploit further the close connection to the corresponding Toeplitz covariance matrix estimation  In particular, an upper bound for the L ∞ risk of a spectral density estimator automatically provides an upper bound for the risk of the corresponding Toeplitz covariance matrix estimator under the spectral norm 
This fact is used to establish the minimax optimality of our nonparametric estimator for the Toeplitz covariance matrices  The main contribution of this work is to show that our proposed spectral density estimator is not only numerically very efficient, but also achieves the minimax optimal rate in the L ∞ norm, which in turn ensures the minimax optimality of the corresponding Toeplitz covariance matrix estimator 
The paper is structured as follows  In Section 2, the model is introduced and ap-proximate diagonalization of Toeplitz covariance matrices with the discrete cosine transform is discussed  Moreover, an alternative version of the Whittle's likelihood is proposed  In Section 3, new estimators for the Toeplitz covariance matrix and the precision matrix are derived, while in Section 4 their theoretical properties are presented 
Section 5 contains simulation results, Section 6 presents a real data example, and Section 7 closes the paper with a discussion  The proofs are given in the appendix to the paper 

Set up and diagonalization of Toeplitz matrices

Let Y 1 ,       , Y n i i d  ∼ N p (0 p , Σ), where Σ is a (p × p)-dimensional positive definite covariance matrix with a Toeplitz structure, that is, Σ = {σ |i−j| } p i,j=1 0  The sample size n may tend to infinity or to be a constant  The case n = 1 corresponds to a single observation of a stationary time series, and in this case the data are simply denoted by Y ∼N p (0 p , Σ) 
The dimension p is assumed to grow  The spectral density function f , corresponding to a Toeplitz covariance matrix Σ, is given by so that for f ∈ L 2 (−π, π) the inverse Fourier transform implies Hence, Σ is completely characterized by f , and the non-negativity of the spectral density function implies the positive definiteness of the covariance matrix 
Moreover, the decay of the autocovariance σ k is directly connected to the smoothness of f   Finally, the convergence rate of a Toeplitz covariance estimator and that of the corresponding spectral density estimator are directly related via Σ ≤ f ∞ := sup x∈ |f (x)|, where • denotes the spectral norm (see  
As in , we introduce a class of positive definite Toeplitz covariance matrices with Hölder continuous spectral densities  For β = γ + α > 0, where The optimal convergence rate for estimating Toeplitz covariance matrices over P β (M 0 , M 1 ) depends crucially on β  It is well known that the k-th Fourier coefficient of a function whose γ-th derivative is α-Hölder continuous decays at least with order O(k −β ) (see  
Hence, β determines the decay rate of the autocovariances σ k , which are the Fourier coefficients of the spectral density f , as k → ∞  In particular, this implies that for β ∈ (0, 1], the class P β (M 0 , M 1 ) includes Toeplitz covariance matrices corresponding to long-memory processes with bounded spectral densities, since the sequence of corresponding autocovariances is not summable 
A connection between Toeplitz covariance matrices and their spectral densities is further exploited in the following lemma  Lemma 1  Let Σ ∈ P β (M 0 , M 1 ) and let x j = (j − 1)/(p − 1), j = 1,    , p, then where δ i,j is the Kroneker delta, O(•) terms are uniform over i, j = 1,       , p and divided by √ 2 when i, j ∈ {1, p} is the Discrete Cosine Transform I (DCT-I) matrix 
The proof can be found in Appendix A 1  This result shows that the DCT-I matrix approximately diagonalizes Toeplitz covariance matrices and that the diagonalization error depends to some extent on the smoothness of the corresponding spectral density  In the spectral density literature the discrete Fourier transform (DFT) matrix
, where i is the imaginary unit, is typically employed to approximately diagonalize Toeplitz covariance matrices  Using the fact that introduced an approximation for the likelihood of a single Gaussian stationary time series (case n = 1), the so-called Whittle likelihood (1) The quantity , where F j denotes the j-th column of F , is known as the periodogram at the j-th Fourier frequency 
Note that due to periodogram symmetry, only p/2 data points I 1 ,    , I p/2 are available for estimating the mean f (2πj/p), j = 1,       , p/2 , where x denotes the largest integer strictly smaller than x  The Whittle likelihood has become a popular tool for parameter estimation of stationary time series, e g , for nonparametric and parametric spectral density estimation or for estimation of the Hurst exponent, see e g , ;  
Lemma 1 yields the following alternative version of the Whittle likelihood where W j = (D t j Y ) 2   Note that this likelihood approximation is based on twice as many data points W j as the standard Whittle likelihood  Thus, it allows for a more efficient use of the data Y to estimate the parameter of interest, such as the spectral density or the Hurst parameter 
Equations ( ) or (2) invite for the estimation of f by maximizing the (penalized) likelihood over certain linear spaces (e g , spline spaces), as suggested e g , in or   However, such an approach requires well-designed numerical methods to solve the corresponding optimization problem, since the spectral density in the second term of (1) or ( ) is in the denominator, which does not allow to obtain a closed-form expression for the estimator and often leads to numerical instabilities 
Also, the choice of the smoothing parameter becomes challenging  Therefore, we suggest an alternative approach that allows the spectral density to be estimated as a mean in an approximate Gaussian regression  Such estimators have a closed-form expression, do not require an iterative optimization algorithm and a smoothing parameter can be easily obtained with any conventional criterion 
First Hence, for W j = (D t j Y ) 2 , j = 1,       , p it follows with Lemma 1 that where Γ(a, b) denotes a gamma distribution with a shape parameter a and a scale parameter b  Note that the random variables W 1 ,       , W p are only asymptotically independent  Obviously, E(W j ) = f (πx j ) + O(1), j = 1,      
, p  To estimate f from W 1 ,       , W p , one could use a generalized nonparametric regression framework with a gamma distributed response, see e g , the classical monograph by   However, this approach requires an iterative procedure for estimation, e g , a Newton-Raphson algorithm, with a suitable choice for the smoothing parameter at each iteration step 
Deriving the L ∞ rate for the resulting estimator is also not a trivial task  Instead, we suggest to employ a variance stabilizing transform of that converts the gamma regression into an approximate Gaussian regression  In the next section we present the methodology in more detail for a general setting with n ≥ 1 

Methodology

For Y i ∼ N p (0 p , Σ), i = 1,       , n, it was shown in the previous section that with Lemma 1 the data can be transformed into gamma distributed random variables     , n, j = 1,       , p, where for each fixed i the random variable W i,j has the same distribution as W j given in (3)  Now the approach of Cai et al  ( ) is adapted to the setting n ≥ 1 
First, the transformed data points W i,j are binned, that is, fewer new variables     , T   Note that the number of observations in a bin is m = np/T   In Theorem 1 in Section 4, we show that setting T = p υ for any υ ∈ ((4 − 2 min{β, 1})/3, 1) leads to the minimax optimal rate for the spectral density estimator 
To simplify the notation, m is handled as an integer (otherwise, one can discard several observations in the last bin)  Next, applying the variance stabilizing transform (VST) ∼ where H(y) = {φ(m/2) + log (2y/m)} / √ 2 and φ is the digamma function (see   Now, the scaled and shifted log-spectral density H(f ) can be estimated with a periodic smoothing spline
where h > 0 denotes a smoothing parameter, q ∈ N is the penalty order and S per (2q − 1) a space of periodic splines of degree 2q − 1  The smoothing parameter h can be chosen either with generalized cross-validation (GCV) as derived in or with the restricted maximum likelihood, see   Once an estimator H(f ) is obtained, application of the inverse transform function H −1 (y) = m exp √ 2y − φ (m/2) /2 yields the spectral density estimator f = H −1 H(f )  
Finally, using the inverse Fourier transform leads to the fol- The precision matrix Ω is estimated by the inverse Fourier transform of the reciprocal of the spectral density estimator, i e , Ω = (ω |i−j| ) p i,j=1 with ωk = The estimation procedure for Σ and Ω can be summarised as follows  1  Data Transformation:
where D is the (p × p)-dimensional DCT-I matrix as given in Lemma 1 and D j is its j-th column  2  Binning: Set T = p υ for any υ ∈ ((4 − 2 min{β, 1})/3, 1) and calculate W i,j , k = 1,     



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'
Context 3:  , T 

VST:

where k are asymptotically i i d  Gaussian variables  Inverse VST: Estimate the spectral density f with f = H −1 H(f ) , where Note that Σ and Ω are positive definite matrices by construction, since their spectral density functions f and f −1 are non-negative, respectively  Unlike the banding and tapering estimators, the autocovariance estimators σk are controlled by a single smoothing parameter h, which can be estimated fully data-driven with several available automatic methods, which are numerically efficient and well-studied 
In addition, one can also use methods for adaptive mean estimation, see e g , , which in turn leads to adaptive Toeplitz covariance matrix estimation  All inferential procedures developed in the Gaussian regression context can also be adopted accordingly 

Theoretical Properties

In this section, we study the asymptotic properties of the estimators f , Σ and Ω  The results are established under the asymptotic scenario where p → ∞ and p/n → c ∈ (0, ∞], that is, the dimension p grows, while the sample size n either remains fixed or also grows but not faster than p  This corresponds to the asymptotic scenario when the sample covariance matrix is inconsistent 
Let f be the spectral density estimator defined in Section 3, i e , f = m exp{ √ 2 H(f ) − φ(m/2)}/2, where H(f ) is given in (4), m = np/T and φ is the digamma function  Furthermore, let Σ be the Toeplitz covariance matrix estimator and Ω the corresponding precision matrix defined in equations ( ) and (6), respectively 
The following theorem shows that both Σ and Ω attain the minimax optimal rate of convergence over the class and hT → ∞, then with T = p υ for any υ ∈ ((4 − 2 min{β, 1})/3, 1) and q = max{1, γ}, the spectral density estimator f , the corresponding covariance matrix estimator Σ and the precision matrix estimator Ω satisfy sup
For h {log(np)/(np)}   The proof of Theorem 1 can be found in the Appendix A 3 and is the main result of our work  The most important part of this proof is the derivation of the convergence rate for the spectral density estimator f under the L ∞ norm  In the original work, established an L 2 rate for a wavelet nonparametric mean estimator in a gamma regression where the data are assumed to be independent 
In our work, the spectral density estimator f is based on the gamma distributed data W i,1 ,       , W i,p , which are only asymptotically independent  Moreover, the mean of these data is not exactly f (πx 1 ),       , f (πx p ), but is corrupted by the diagonalization error given in Lemma 1  This error adds to the error that arises via binning and VST and that describes the deviation from a Gaussian distribution, as derived in  
Finally, we need to obtain an L ∞ rather than an L 2 rate for our spectral density estimator  Overall, the proof requires different tools than those used in   To get the L ∞ rate for f , we first derive that for the periodic smoothing spline estimator H(f ) of the log-spectral density  To do so, we use a closed-form expression of its effective kernel obtained in , thereby carefully treating various (dependent) errors that describe deviations from a Gaussian nonparametric regression with independent errors and mean f (πx i ) 
Note also that although the periodic smoothing spline estimator is obtained on T binned points, the rate is given in terms of the vector dimension p  Then, using the Cauchy-Schwarz inequality and a mean value argument, this rate is translated into the L ∞ rate for the spectral density estimator f   To obtain the rate for the Toeplitz covariance matrix estimator is enough to note that

Simulation Study

In this section, we compare the performance of the proposed Toeplitz covariance estimator, denoted as VST-DCT, with the tapering estimator of and with the sample covariance matrix  We consider Gaussian vectors Y 1 ,    , (3) such that the corresponding spectral density is Lipschitz continuous but not differentiable: f (x) = 1 44{| sin(x + 0 5π)| 1 7 + 0 45} 
In particular, var(Y i ) = 1 44 in all three examples  Figure shows the spectral densities and the corresponding autocorrelation functions for the three examples  A Monte Carlo simulation with 100 iterations is performed using R (version 4 1 2, seed 42)  For our VST-DCT estimator, we use a cubic periodic spline, i e , q = 2 is set in (4) 
The binning parameters are set to T = 500 bins with m = 10 points for (A) and T = 500 bins with m = 100 points for both (B) and (C)  To select the regularisation parameter for our estimator, we implemented the restricted maximum likelihood (ML) method, generalized cross validation (GCV) and the corresponding oracle versions, i e , as if Σ were known The tapering parameter
where T ap k (Σ ν 2 ) is the tapering estimator of with parameter k  If n = 1, that is, under scenario (A), suggest to split the time series Y into l non-overlapping subseries of length p/l and then proceed as before to select the tuning parameter k  To the best of our knowledge, there is no data-driven method for selecting this parameter l 
Using the true covariance matrix Σ, we selected l = 30 subseries for the example 1 and l = 15 subseries for the exam-ples 2 and 3  The parameter k can then be chosen by cross-validation as above  We employ this approach under scenario (A) instead of an unavailable fully data-driven criterion and name it semi-oracle 
Finally, for all three scenarios (A), (B) and (C), the oracle tapering parameter is computed using grid search for each Monte Carlo sample as kor = arg min k=2,3,   ,p/2 T ap k ( Σ) − Σ , where Σ is the sample covariance matrix  To speed up the computation, one can replace the spectral norm by the 1 norm, as suggested by  
In Tables , the errors of the Toeplitz covariance estimators with respect to the spectral norm and the computation time for one Monte Carlo iteration are given for scenarios (A), (B) and (C), respectively  To illustrate the goodness-of-fit of the spectral density, the L 2 norm f − f 2 is also computed 
The results show that the tapering and VST-DCT estimator perform overall similar in terms of the spectral norm risk  This is not surprising as both estimators are proved to be rate-optimal  Moreover, both the tapering and VST-DCT estimators are clearly superior to the inconsistent sample Toeplitz covariance matrix 
A closer look at the numbers shows that the VST-DCT method has better constants, i e , VST-DCT estimators have somewhat smaller errors in the spectral norm than the tapering estimators across all examples, but especially under scenario (C)  The oracle estimators show similar behaviour, but are slightly less variable compared to the data-driven estimators 
In general, both the tapering and VST-DCT estimators perform best for example 1, second best for example 3 and worst for example 2, which traces back to functions complexity  In terms of computational time, both methods are similarly fast for scenarios (A) and (B)  For scenario (C), the tapering method is much slower due to the multiple high-dimensional matrix multiplications in the cross-validation method 
It is expected that for larger p the tapering estimator is much more computationally intensive than the corresponding VST-DCT estimator  (1) polynomial σ ( (  To test how robust our approach is to deviations from the Gaussian assumption, we simulated the data from gamma and uniform distributions and conducted a simulation study for the same scenarios and examples 
The results are very similar to those of the Gaussian distribution, see supplementary materials for the details 

Application to Protein Dynamics

We revisit the data analysis of protein dynamics performed in Krivobokova et al  (2012) and   We consider data generated by the molecular dynamics (MD) simulations for the yeast aquaporin (Aqy1) -the gated water channel of the yeast Pichi pastoris  MD simulations are an established tool for studying biological systems at the atomic level on timescales of nano-to microseconds 
The data are given as Euclidean coordinates of all 783 atoms of Aqy1 observed in a 100 nanosecond time frame, split into 20 000 equidistant observations  Additionally, the diameter of the channel y t at time t is given, measured by the distance between two centers of mass of certain residues of the protein 
The aim of the analysis is to identify the collective motions of the atoms responsible for the channel opening  In order to model the response variable y t , which is a distance, based on the motions of the protein atoms, we chose to represent the protein structure by distances between atoms and certain fixed base points instead of Euclidean coordinates 
That is, we calculated where A t,i ∈ R 3 , i = 1,       , 783 denotes the i-th atom of the protein at time t, B j ∈ R 3 , j = 1, 2, 3, 4, is the j-th base point and d(•, •) is the Euclidean distance  Figure shows the diameter y t and the distance between the first atom and the first center of mass  It can therefore be concluded that a linear model Y = Xβ + holds, where
  This linear model has two specific features which are intrinsic to the problem: first, the observations are not independent over time and second, X t is high-dimensional at each t and only few columns of X are relevant for Y   have shown that the partial least squares (PLS) algorithm performs exceptionally well on this type of data, leading to a small-dimensional and robust representation of proteins, which is able to identify the atomic dynamics relevant for Y  
Singer et al  ( ) studied the convergence rates of the PLS algorithm for dependent observations and showed that decorrelating the data before running the PLS algorithm improves its performance  Since Y is a linear combination of columns of X, it can be assumed that Y and all columns of X have the same correlation structure 
Hence, it is sufficient to estimate Σ = cov(Y ) to decorrelate the data for the PLS algorithm, i e , Σ −1/2 Y = Σ −1/2 Xβ + Σ −1/2 results in a standard linear regression with independent errors  Our goal now is to estimate Σ and compare the performance of the PLS algorithm on original and decorrelated data 
For this purpose, we divided the data set into a training and a test set (each with p = 10 000 observations)  First, we tested whether the data are stationary  The augmented Dickey-Fuller test confirmed stationarity for Y with a p-value< 0 01  The Hurst exponent of Y is 0 85, indicating moderate long-range dependence supported by a rather slow decay of the sample autocovariances (see grey line in the left plot of Figure ) 
Therefore, we set q = 1 for the VST-DCT estimator to match the low smoothness of the corresponding spectral density  Moreover, the smoothing parameter is selected with the restricted maximum likelihood method and T = 550 bins are used  Obviously, the performance of the PLS algorithm on the decorrelated data is significantly better for the small number of components 
In particular, with just one PLS component, the correlation between the true opening diameter on the test set and its prediction that takes into account the dependence in the data is already 0 54, while it is close to zero for PLS that ignores the dependence in the data  showed that the estimator of β based on one PLS component is exactly the ensemble-weighted maximally correlated mode (ewMCM), which is defined as the collective mode of atoms that has the highest probability to achieve a specific alteration of the response Y  
Therefore, an accurate estimator of this quantity is crucial for the interpretation of the results and can only be achieved if the dependence in the data is taken into account  Estimating Σ with a tapered covariance estimator has two practical problems  First, since we only have a single realization of a time series Y (n = 1), there is no datadriven method for selecting the tapering parameter 
Second, the tapering estimator turned out not to be positive definite for the data at hand  To solve the second problem, we truncated the corresponding spectral density estimator ftap to a small positive value, i e , f + tap = max{ ftap , 1/ log(p)} (see   To select the tapering parameter with cross-validation, we experimented with different subseries lengths and found that the tapering estimator is very sensitive to this choice 
For example, estimating the tapered covariance matrix based on subseries of length 8/15/30 yields a correlation of 0 42/0 53/0 34 between the true diameter and the first PLS component, respectively  Altogether, our proposed estimator is fully data-driven, fast even for large sample sizes, automatically positive definite and can handle certain long-memory processes 
In contrast, the tapering estimator is not data-driven and must be manipulated to become positive definite  Our method is implemented in the R package vstdct 

Discussion

In this paper, we proposed a simple, fast, fully data-driven, automatically positive definite and minimax optimal estimator of Toeplitz covariance matrices from a large class that also includes covariance matrices of certain long-memory processes  Our estimator is derived under the assumption that the data are Gaussian 
However, simulations show that the suggested approach yields robust estimators even when the data are not normally distributed  In the context of spectral density estima- , for mixing processes (see Theorem 5 3 of Rosenblatt, 2012), as well as for non-linear processes (see   Since DFT and DCT matrices are closely related, we expect that equation (3) also holds asymptotically for these non-Gaussian time series, but consider a rigorous analysis to be beyond the scope of this paper 
In fact, our numerical experiments have even shown that if the spectral density is estimated from W j = f (πx j ) + j , that is, as if W j were Gaussian instead of gamma distributed, then the resulting spectral density estimator has almost the same L ∞ risk (and hence the corresponding covariance matrix has almost the same spectral norm) 
Of course, such an estimator would lead to a wrong inference about f (πx j ), since the growing variance of W j would be ignored  Since our approach translates Toeplitz covariance matrix estimation into a mean estimation in an approximate Gaussian nonparametric regression, all approaches developed in the context of Gaussian nonparametric regression, such as (locally)
adaptive estimation, as well as the corresponding (simultaneous) inference, can be directly applied  Bayesian tools for adaptive estimation and inference in Gaussian nonparametric regression as proposed in can also be employed 

Appendix

Throughout the appendix, we denote by c, c 1 , C, C 1 ,       etc  generic constants, that are independent of n and p  To simplify the notation, the constants are sometimes skipped and we write for less than or equal to up to constants  We embed the p-dimensional Toeplitz matrix Σ = toep(σ 0 ,       , σ p−1 ) in a (2p − 2)dimensional circulant matrix Σ = toep(σ 0 ,      
, σ p−1 , σ p−2 ,       , σ 1 )  Then, Σ = with the conjugate transpose U * , and Λ is a diagonal matrix with the k-th diagonal value for k = 1,    , p given by Furthermore, Σ = V * ΛV , where V ∈ C (2p−2)×p contains the first p columns of U   In particular, b(j, r) = b(j, 2p−r) and c(j, r) = −c(j, 2p−r) for r = p+1,      
, 2p−2  Together, we have (A 1) Some calculations show that for r = 1,       p Using the Taylor expansion of cot(x) for 0 < |x| < π one obtains for r = 1,   



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Context 3:    p where the O term does not depend on j and the hidden constant does not depend on r, p  If i = j, equations (A 1) -(A 3) imply where the O terms do not depend on j 
Since the complex exponential function is Lipschitz continuous with constant L = 1, it holds λ r = λ j + L r,j |r − j|p −1 where −1 ≤ L r,j ≤ 1 is a constant depending on r, j  Then, , it is sufficient to consider j = 1,    , p − 1  We begin with first sum  For a shorter notation, we use k := r − 1 and l := j − 1 in the following 
Then, summing the squares of the first term in (A 4) for l = 0,    , p−2 on sums of reciprocal powers  If p is even, then the residual terms are given by where φ and φ (1) denote the digamma function and its derivative  If p is odd, similar remainder terms can be derived  To see that R i (l, p) = O(p −1 ) for i = 1, 2, 3 and uniformly in l we use that asymptotically φ(x)∼ log(x)−1/(2x) and
The mixed term are both of the order p −1   Furthermore, since the harmonic sum diverges at a rate of log(p)  Finally, λ j = f (x j )+O{log(p)p −β } by the uniform approximation properties of the discrete Fourier series for Hölder continuous functions (see   All together, we have shown that (DΣD) j,j = where the O terms are uniform over j = 1,    , p 
Case i = j and |i − j| is even In this case, (DΣD) i,j = a i a j uniformly in i, j  To show that a i a j 2p−2 r=1 λ r c(i, r)c(j, r) = O(p −1 ), we proceed similarly as before  Setting k=r−1, l=j−1, m=i−1 and using that l =m and |l−m| is even, one obtains where for even p the residual terms are given by If p is odd, analogous residual terms can be derived 
Using similar techniques as before, one can show that the two residual terms and the remaining mixed and square terms vanish at a rate of the order O(p −1 ) and uniformly in i, j  Case i = j and |i − j| is odd |r − i| and |r − j| are either odd and even, or even and odd  Without loss of generality, assume that |r − i| is even 
Then, (DΣD) i,j = a i a j 2p−2 r=1 λ r b(i, r)c(j, r)  Since b(i, •) is an even function, c(j, •) is an odd function and λ r = λ 2p−r , it follows (DΣD) i,j = 0  The structure of the proof is as follows  First, we derive the L ∞ rate of the periodic smoothing spline estimator H(f )  Then, using the Cauchy-Schwarz inequality and a mean value argument, the convergence rate of the spectral density estimator f is
∞ the first claim of the theorem follows  Finally, we prove the second statement on the precision matrices  For the sake of clarity, some technical lemmas used in the proof are listed separately in A 4  hT → ∞, then with T = p υ for any υ ∈ ((4 − 2 min{1, β})/3, 1), the estimator H(f ) described in Section 3 with q = max{1, γ} satisfies
Proof : Application of the triangle inequality yields a bias-variance decomposition Set T = 2T − 2 and x k = (k − 1)/ T for k = 1,    , T   Using Lemma 4, we can write where Mirroring and renumerating ζ k , η k , k is similar as for Y * k , k = 1,    , T   Using the above representation, one can write First we reduce the supremum to a maximum over a finite number of points 
If q > 1, then W (•, x k ) is Lipschitz continuous with constant L > 0  In this case, it holds almost surely that sup ) is a piecewise linear function with knots at x j = j/ T   The factor (ζ k + ξ k ) can be considered as stochastic weights that do not affect the piecewise linear property  Thus, the supremum is attained at one of the knots x j = j/ T , j = 1,    , T , and (A 7) is also valid for q = 1 
Again with (a + b) 2 ≤ 2a 2 + 2b 2 we obtain We start with bounding   This requires a bound on 1 • ψ 2 denotes the sub-Gaussian norm  In case of a Gaussian random variable the norm equals to the variance  Thus with Lemma 2 and Lemma 4, we obtain Lemma 1 6 of ) then yields Recall that T = p υ for some fixed υ ∈ ((4 − 2 min{1, β})/3, 1) 
Using the inequality log(x) ≤ x a /a one can find constants x υ , C υ > 0 depending on υ but not on n, p such that log(2 T ) log(p) Next, we derive a bound for the second term The exponential decay property of the kernel K stated in Lemma 2 yields The first term in (A 9) can be bounded again with Lemma 1 6 of  
We use the fact that for not necessarily independent random variables X 1 ,    , X N R and R > 0 are constants  This is a consequence of Lemma 1 of which yields , it follows that N i=1 a i X i has a subGaussain distribution and the subGaussian norm is bounded by 2R( N i=1 a 2 i ) 1/2   See for further details on the subgaussian distribution 
T h   For the second inequality Lemma 2(ii) is used  Applying Lemma 1 6 of then yields To bound the second term in (A 9), we use the moment bounds for ξ k derived in Lemma 4  Then, for all integers > 1 Combining the error bounds (A 10) and (A 11) and choosing R=m −1/2 gives By assumption T = p υ and m = np (1−υ) for some fixed υ ∈ ((4 − 2 min{1, β})/3, 1) 
If is an integer such that ≥ 1/(1 − υ), then where we used log(x) ≤ x a /a with a = 1/(4 )  Consider 1/2 < β ≤ 1 and let 0 < χ < 1 be a constant  Applying log(x) ≤ x a /a twice with a = χ/(2 ) yields For any fixed υ∈((4 − 2 min{1, β})/3, 1) one can find an integer which is independent of n, p such that the right side of (A 12) holds 
Since p/n → c ∈ (0, ∞] and thus n/p = O(1) and p −1 = O(n −1 ), it follows for satisfying (A 12) that In total, choosing an integer Using the representation in Lemma 4 once more gives for each x ∈ [0, 1] The bounds on k in Lemma 4 imply Consider the case that β ≥ 1  In particular, q = γ and f (q) is α-Hölder continuous 
Since f is a periodic function with f (x) ∈ [δ, M 0 ] and H(y) ∝ φ(m/2)+ log (2y/m), it follows that {H(f )} (q) is also α-Hölder continuous  Extending g := H(f ) to the entire real line, we get Expanding g(t) in a Taylor series around x and using that h −1 K h is a kernel of order 2q, see Lemma 2(iii), it follows that for any x ∈ [0, 1]
where ξ x,t is a point between x and t  Using the fact that the kernel K h decays exponentially and that g (q) is α-Hölder continuous on [δ, M 0 ] with some constant L, the logarithm is Lipschitz continuous on a compact interval, it follows g = H(f ) is β-Hölder continuous  Expanding g to the entire line and using Lemma 2(iii) with
In a similar way as before, one obtains Note that T −β =o(h β ) as β > 1/2, T h → ∞ and h → 0 by assumption  Since the derived bounds are uniform for x ∈ [0, 1] it holds Putting the bounds A 13 and A 14 together gives If h > 0 such that h → 0 and hT → ∞, then with T = p υ for any υ ∈ ((4 − 2 min{1, β})/3, 1), the estimator f described in Section 3 with q = max{1, γ} satisfies
Proof : By the mean value theorem, it holds for some function g between H(f ) and To show that the second term on the right hand side of (A 15) is negligible we use the moment generating function of H(f ) ∞   In the next paragraph, we derive the asymptotic order of E[exp{λ H(f ) ∞ }] for n, p → ∞, where λ > 0 may depend on n, p or not 
By the exponential decay property of the kernel K stated in Lemma 2 holds First, H(f ) ∞ is bounded with the maximum over a finite number of points  Calculating the derivative of s : Since δ δx s(x) > 0 almost surely for x = x k , the extrema occur at x k , k = 1,    , T   Thus, for λ > 0 the moment generating function of H(f ) ∞ is bounded by
Let M j = ( T h) −1 T k=1 γ h (x j , x k ), which by Lemma 2 is bounded uniformly in j by some global constant M > 0  By the convexity of the exponential function we obtain √ 2 and by assumption 0 ≤ δ ≤ f ≤ M 0   Using Lemma 3, Q k can be written as a sum of m = np/T independent gamma random variables, i e 
The moment generating function of | log(X)| when X follows a Γ(a, b)-distribution is given by where Γ(a) is the gamma function and γ(a, b) is the lower incomplete gamma function  In particular, To derive the asymptotic order of E[exp{λ H(f ) ∞ }] for n, p → ∞ we first establish the asymptotic order of the ratio Γ(a + t)/Γ(a) for a → ∞ 
We distinguish the two cases where t is independent of a and where t linearly depends on a  Thus, for 0 < t < a and t independent of a, equation (A 17) implies for a → ∞ that Γ(a + t)/Γ(a) = O(a t )  Similarly, it can be seen that Γ(a − t)/Γ(a) = O(a −t )  If 0 < t < a and t linearly depends on a, i e  t = ca for some constant c ∈ (0, 1), then we get Γ(a ± t)/Γ(a) = O(a ±t exp{a}) for a → ∞ 
Hence, for a fixed λ not depending on n, p and such that 0 < λ < m/( √ 2M j ) we get for sufficiently large n, p If λ = cm such that 0 < λ < m/( √ 2M j ), then for sufficiently large n, p b∈{cδ/m,cM 0 /m} (bm/2) for some constant L > 1  Set K = min j=1,   , T 1/( √ 2M j ) which is a constant independent of n, p  Altogether, we showed that for 0 < λ < Km and n, p → ∞
Bounding the right hand side of (A 15) for some constants c 0 , c 1 > 0 and n, p → ∞ Since g lies between H(f ) and H(f ), and f almost surely pointwise  Thus, for C > f ∞ = M 0 it holds where c 1 := H(C − M 0 )  Applying Markov inequality for t = cm with c ∈ (0, K) and C = 2L 4/c + M 0 where c, K, L are the constants in gives
Together with Proposition 1 follows Using the fact that the spectral norm of a Toeplitz matrix is upper bounded by the sup norm of its spectral density we get sup According to the mean value theorem, for a function g between H(f ) and H(f ), it holds that some constant c 1 > 0 not depending on n, p  Chosing the same constant C as in section A 3 2 it follows
Noting that 1/f ∞ ≤ 1/δ and 2/m exp {φ(m/2)} ∈ [0 25, 1] for m ≥ 1, (A 18) implies for some constants c 2 , c 3 > 0 and n, p → ∞ Since the derived bounds hold for each Σ(f ) ∈ F β , we get all together sup This section states some technical lemmata needed for the proof of Theorem 1  The proofs can be found in the supplementary material 
The first lemma lists some properties of the kernel K h and its extension K h on the real line  The proof is based on   Lemma 2  Let h > 0 be the bandwith parameter depending on N   (i) There are constants 0 < C < ∞ and 0 < γ < 1 such that for all for x, t ∈ [0, 1] Lemma 3 states that the sum of the correlated gamma random variables in each bin can be rewritten as a sum of independent gamma random variables 
for i = 1,    , n and j = (k − 1)m + 1,    , km, and x j = (j − 1)/(2p − 2)  Finally, Lemma 4 gives explicit bounds for the stochastic and deterministic errors of the variance stabilizing transform  Thus, it quantifies the difference to an exact Gaussian regression setting  This result is a generalization of Theorem 1 of Cai et al 
(2010) adapted to our setting with n ≥ 1 observations and correlated observations  √ 2 can be written as where for the proof of the first statement  Furthermore, for x, t ∈ [0, 1] holds In particular, for some constants C 1 , C 2 > 0 depending on γ ∈ (0, 1) but not on h and x, it holds h (iii) See Lemma 15 of with p = 2q − 1 
It is sufficient to show the statement for n = 1 by independence of the Y i   Then, the number of points per bin is m = p/T   For simplicity, the index i is skipped in the following  First, we write Q k as a matrix-vector product and refactor it so that it corresponds to a sum of independent scaled χ 2 random variables 
In the second step, we calculate the scaling factors  Let E (km) be a diagonal matrix with ones on the (k − 1)m + 1,    , km-th entries and otherwise zero diagonal elements  Then, By Theorem 1 of for the gamma distribution it follows where Wi,j iid  ∼ Γ(1/2, 2 f (x * k )) and such that Cov( Wi,j , Wi,h ) = Cov(W i,j , W i,h ) for j = (k − 1)p/T + 1,    , kp/T and h ∈ {1,    , p} \ {(k − 1)p/T + 1,    , kp/T } 
Let θ be the maximum difference of the observations' means in each bin  Then, θ = max are defined via quantile coupling, it holds Z k = Φ −1 {F Q( Qk )} (see   Furthermore, define the uniform random variables Let ρ = Cov(Z k , Z l )  Then, the identity implies F Z,Z (x, y) − Φ(x)Φ(y) ≥ 0 for all x, y ∈ R ⇐⇒ ρ ≥ 0, (see  
Since Cov( Qk , Ql ) ≥ 0 and the ratio of two densities is non-negative, x = − 2/m, it follows that f Q(x) is monotone decreasing for x ≥ − 2/m  Furthermore, F Q(− m/2) ≤ 0 5 for all m ∈ N as f Q(x) is right-skewed  In particular, − m/2 ≤ F −1 Q (1/2) for all m ∈ N  Finally, since f Q(− 2/m) → φ(0) for m → ∞ there is a constant c > 0 not depending on m such that
The simulation study in Section 5 is performed in the same way, but with the uniform and the gamma distribution instead of the Gaussian distribution 



ground_truth: Decorrelating the data before running the PLS algorithm improves the performance of the algorithm.