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Heather Battey (Imperial College London)

Dates:23 February 2017
Times:16:15 - 17:45
What is it:Seminar
Organiser:School of Social Sciences
Speaker:Heather Battey
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  • In category "Seminar"
  • In group "(SoSS) Economics"
  • In group "(SoSS) Economics - econometrics"
  • By School of Social Sciences

Title: Exploring and exploiting new structured classes of covariance and inverse covariance matrices

Abstract: Estimation of covariance and inverse covariance (precision) matrices is an essential ingredient to virtually every modern statistical procedure. When the dimension, p, of the covariance matrix is large relative to the sample size, the sample covariance matrix is inconsistent in non-trivial matrix norms and its non-invertibilty renders many techniques in multivariate analysis impossible. Structural assumptions are necessary in order to restrain the estimation error, even if this comes at the expense of some approximation error if the structural assumptions fail to hold. I will introduce new structured model classes for estimation of large covariance and precision matrices. These model classes result from imposing sparsity in the domain of the matrix logarithm. After studying the structure induced in the original and inverse domains, I will then introduce estimators of both the covariance and precision matrix that exploit this structure.

Speaker

Heather Battey

Role: Lecturer in Statistics

Organisation: Imperial College London

  • http://wwwf.imperial.ac.uk/~hbattey/

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G32
Humanities Bridgeford Street
Manchester

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Vitaliy Oryshchenko

01612753986

vitaliy.oryshchenko@manchester.ac.uk

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