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.