This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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440
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Type:
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Invited
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Date/Time:
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Wednesday, August 4, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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General Methodology
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| Abstract - #306022 |
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Title:
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On Estimation of Large Covariance Matrices
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Author(s):
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Tony Cai*+
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Companies:
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University of Pennsylvania
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Address:
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3730 Walnut St., Philadelphia, PA, 19104,
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Keywords:
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covariance matrix ;
high dimensional inference ;
minimax lower bound ;
optimal rate of convergence ;
sparsity ;
tapering
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Abstract:
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Estimation of large covariance matrices has drawn much recent attention. In this talk, I will discuss some new results on optimal rate of convergence for estimating covariance matrices in different settings. The results and the technical analysis show the connections to and distinctions from the more conventional function/sequence estimation problems. Moreover, the minimax behavior of the covariance matrix estimation problem critically depends on the norm under which the estimation error is measured.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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