Seminar Details

Seminar Details


Oct 30

3:30 pm

Regularized Covariance Matrix Estimation

Peter Bickel


University of California, Berkeley

I will review and discuss some of the different themes of regularized estimation of the population covariance matrix:

1. Why estimate it and in what norm?
2. Pathologies of the empirical covariance matrix
3. Notions of sparsity and methods of regularization
4. Results of B-Levina (2004, 2006)
5. Some future directions