07
OCT

Mathematics Colloquium: Random matrices and multivariate statistics

Colloque / Congrès / Forum
Académique ou spécialiste
07.10.2014 17:15 - 18:15
Présentiel

I review some applications of random matrix theory to multivariate statistics. Suppose one is interested in the covariance matrix of a random vector whose distribution is unknown. In order to determine the covariances from empirical observations, one approximates them using empirical averages obtained from a series of measurements. The resulting sample covariance matrix is random, and its relationship with the true covariance matrix rather intricate. I outline some recent progress in understanding the behaviour of sample covariance matrices. The cornerstone of the proofs is an anisotropic local law for the resolvent. Applications include the Tracy-Widom distribution of eigenvalues near the spectral edges.
Quand?
07.10.2014 17:15 - 18:15
Où?
Site PER 08 / Salle 2.52 Mathematik
Chemin du Musée 3, 1700 Fribourg
Organisation
Departement für Mathematik
Claudia Kolly
claudia.kolly@unifr.ch
chemin du musée 23
1700 Fribourg
026 300 9179
Intervenants
Prof. Antti Knowles, ETHZ