[ceis_seminars_phd] Riccardo Faini CEIS Seminar - Michael Wolf 11 April 2014


Cronologico Percorso di conversazione 
  • From: "Barbara Piazzi" < >
  • To: < >, < >, < >
  • Subject: [ceis_seminars_phd] Riccardo Faini CEIS Seminar - Michael Wolf 11 April 2014
  • Date: Mon, 7 Apr 2014 17:19:03 +0200

CEIS-Tor Vergata is pleased to inform you that, on Friday April 11th, 2014 at 12.00 pm, Michael Wolf (University of Zurich) will present a paper on “Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensionsâ€

 

ABSTRACT

Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of the data is of a magnitude similar to the sample size, or even larger. In such settings, there is a common remedy for both statistical problems: nonlinear shrinkage of the eigenvalues of the sample covariance matrix. The optimal nonlinear shrinkage formula depends on unknown population quantities and is thus not available. It is, however, possible to consistently estimate an oracle nonlinear shrinkage, which is motivated on asymptotic grounds. A key tool to this end is consistent estimation of the set of eigenvalues of the population covariance matrix (also known as the spectrum), an interesting and challenging problem in its own right. Extensive Monte Carlo simulations demonstrate that our methods have desirable finite-sample properties and outperform previous proposals.​

 

The Seminar will be held at the Faculty of Economics, University of Rome "Tor Vergata", B-building, 1° floor, room B                    

 

Please, go to www.ceistorvergata.it for the complete list of seminars and events at CEIS.

 

How to reach us: http://web.uniroma2.it/mobilita/index.html  http://www.economia.uniroma2.it/area.asp?a=867  

 

 

Barbara Piazzi
CEIS-Tor Vergata
Facoltà di Economia
Università di Roma Tor Vergata
via Columbia, 2
00133 Roma
tel +39.06.7259.5652
fax +39.06.2020687



__________ Informazioni da ESET NOD32 Antivirus, versione del database delle firme digitali 9646 (20140407) __________

Il messaggio è stato controllato da ESET NOD32 Antivirus.

www.nod32.it


  • [ceis_seminars_phd] Riccardo Faini CEIS Seminar - Michael Wolf 11 April 2014, Barbara Piazzi

Archivio con motore MhonArc 2.6.16.

§