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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Regularized covariance matrix estimation

Presented by Peter Bickel, University of California, Berkeley

3 June 2008 14:15 in CM221

I will review and discuss some of the different themes of regularized estimation of the population covariance matrix:

1. Why estimate it and in what norm?
2. Pathologies of the empirical covariance matrix
3. Notions of sparsity and methods of regularization
4. Results of B-Levina (2004-07)
5. Some future directions

Contact sunil.chhita@durham.ac.uk for more information