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BEGIN:VEVENT
DTSTART;VALUE=DATE:20141007T171500
DTEND;VALUE=DATE:20141007T171500
UID:5714@agenda.unifr.ch
DESCRIPTION: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.\n
SUMMARY:Antti Knowles (ETHZ): Random matrices and multivariate statistics
CATEGORIES:Colloque / Congrès / Forum
LOCATION:PER 08\, Phys 2.52\, Chemin du Musée 3\, 1700 Fribourg
URL;VALUE=URI:https://agenda.unifr.ch/e/fr/5714
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