Statistics Seminar Speaker Jacob Bien, 3/26/14 @ 4:15 pm

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Wednesday Mar 26 2014

Statistics Seminar Speaker Jacob Bien, 3/26/14 @ 4:15 pm

4:15pm @ G01 Biotech

This week's Statistics Seminar Speaker will be Jacob Bien from Cornell University.

Title: Convex Banding of the Covariance Matrix

Abstract: We introduce a sparse and positive definite estimator of the covariance matrix designed for high-dimensional situations in which the variables have a known ordering. Our estimator is the solution to a convex optimization problem that involves a hierarchical group lasso penalty.  We show how it can be efficiently computed, compare it to other methods such as tapering by a fixed matrix, and develop several theoretical results that demonstrate its strong statistical properties.  Finally, we show how using convex banding can improve the performance of high-dimensional procedures such as linear and quadratic discriminant analysis.  This is joint work with Florentina Bunea and Luo Xiao.

Refreshments will be served after the seminar in 1181 Comstock Hall.