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Comet Calendar Event Details
Statistics Colloquium by Martina Mincheva
Thursday, Feb 20, 2014
2 p.m. - 3 p.m. Location: GR 4.204

Martina Mincheva

Operations Research and Financial Engineering

Princeton University

Covariance estimation - big data challenges and financial applications

 High-dimensional settings have recently become one of the major focuses of statistical research, driven by applications in finance and genetics. In a data rich environment, the number of parameters can diverge at a rate faster than that of the sample size. My focus is on creating consistent covariance and precision matrix estimators. I propose the POET (Principal Orthogonal complEments Thresholding) estimator which deals with the big data challenge by establishing low-dimensional patterns, namely a low-rank component and a sparse component. I demonstrate its performance in a real-data setup for risk management and portfolio allocation.    

Sponsored by the Department of Mathematical Sciences

Host:  Robert Serfling

Refreshments will be served in Room FO 2.610F 30 minutes before the talk begins.


Contact Info:
John Zweck, 972-883-6699
Questions? Email me.

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