Heather Battey (Imperial College London)
| Dates: | 23 February 2017 |
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| Times: | 16:15 - 17:45 |
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| What is it: | Seminar |
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| Organiser: | School of Social Sciences |
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| Speaker: | Heather Battey |
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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
Travel and Contact Information
Find event
G32
Humanities Bridgeford Street
Manchester
