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Permutation-invariant covariance regularisation in high dimensions

Thursday 26th June 2008 - 16:30 to 17:30
INI Seminar Room 1
Session Chair: 
Doug Nychka

Estimation of covariance matrices has a number of applications, including principal component analysis, classification by discriminant analysis, and inferring independence and conditional independence between variables, and the sample covariance matrix has many undesirable features in high dimensions unless regularized. Recent research mostly focused on regularization in situations where variables have a natural ordering. When no such ordering exists, regularization must be performed in a way that is invariant under variable permutations. This talk will discuss several new sparse covariance estimators that are invariant to variable permutations. We obtain convergence rates that make explicit the trade-offs between the dimension, the sample size, and the sparsity of the true model, and illustrate the methods on simulations and real data. We will also discuss a method for finding a "good" ordering of the variables when it is not provided, based on the Isomap, a manifold projection algorithm.

The talk includes joint work with Adam Rothman, Amy Wagaman, Ji Zhu (University of Michigan) and Peter Bickel (UC Berkeley).

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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons