Statistics Seminar

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Date/Time:Monday, 21 Apr 2014 from 4:10 pm to 5:00 pm
Location:Snedecor 3105
Cost:Free
URL:www.stat.iastate.edu
Contact:Jeanette La Grange
Phone:515-294-3440
Channel:College of Liberal Arts and Sciences
Categories:Lectures
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"Random Matrix Theory and Covariance Matrix Estimation", Wei Biao Wu, Department of Statistics, University of Chicago, Chicago, IL

I will give an introduction of modern random matrix theory, in particular the asymptotic theory for eigenvalues of sample covariance matrices. Then I will discuss the high dimensional covariance matrix estimation problem. Using the framework of nonlinear processes described in Wiener (1958), I will talk about the convergence of regularized covariance matrix estimates. These results can be applied to the traditional Wiener-Kolmogorov prediction theory.