Adaptive Est. of Large Covariance Matrices

Event Details
  • Date/Time:
    • Thursday April 5, 2012
      3:00 pm - 4:00 pm
  • Location: ISyE Executive Classroom
  • Phone:
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    N/A
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Contact

Dr. Ming Yuan  ming.yuan@isye.gatech.edu

Summaries

Summary Sentence: Adaptive Est. of Large Covariance Matrices

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STATISTICS SEMINAR

TITLE:   Adaptive Estimation of Large Covariance Matrices

SPEAKER:  Dr. Ming Yuan

ABSTRACT:

Estimation of large covariance matrices has drawn considerable recent attention and the theoretical focus so far is mainly on developing a minimax theory over a fixed parameter space. In this talk, I shall discuss adaptive covariance matrix estimation where the goal is to construct a single procedure which is minimax rate optimal simultaneously over each parameter space in a large collection. The estimator is constructed by carefully dividing the sample covariance matrix into blocks and then simultaneously estimating the entries in a block by thresholding. I shall also illustrate the use of the technical tools developed in other matrix estimation problems.

Additional Information

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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Apr 2, 2012 - 7:25am
  • Last Updated: Oct 7, 2016 - 9:58pm