07
OKT
OKT
Mathematics Colloquium: Random matrices and multivariate statistics
Kolloquium / Kongress / Forum
Spezialisiert / Akademisch
07.10.2014 17:15 - 18:15
Präsenzveranstaltung
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.
Wann?
07.10.2014 17:15 - 18:15
Wo?
Organisation
Departement für Mathematik
Claudia Kolly
claudia.kolly@unifr.ch
chemin du musée 23
1700 Fribourg
026 300 9179
Claudia Kolly
claudia.kolly@unifr.ch
chemin du musée 23
1700 Fribourg
026 300 9179
Vortragende / Mitwirkende
Prof. Antti Knowles, ETHZ