We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.

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 for more information