Home|Events|Contact Us|Cookies|My RSS
Search :   Go
Events Calendar
Audio and Video
RSS online and virtual events
The Beveridge Memorial Lecture
Annual Conference
Conference Archive
Read Paper Meetings
Annual General Meeting
Education Events
Venue Hire
You are here : Events Diary : Events : View Event Details

Event Information

Start Time: 13 February 2013 17:00
End Time: 13 February 2013 19:00

Ordinary Meeting: “Large Covariance Estimation by Thresholding Principal Orthogonal Complements”
Royal Statistical Society, 12 Errol Street, London EC1Y 8LX

Jianqing Fan (Princeton University), Yuan Liao (University of Maryland) and Martina Mincheva (Princeton University).

Covariance matrices are often not sparse due to the common factors, e.g., financial returns depend on the equity market risks, gene expressions can be stimulated by cytokines. We propose a new easy-to-compute high-dimensional covariance estimator that has appealing theoretical properties and performs well in the presence of common factors.

Refreshments from 4.30pm
Meeting organised by Research Section
Contact details: Abdel Khairoun journal@rss.org.uk

Join the RSS - Become part of an organisation working with some of the world's leading Statisticians

Non-RSS Events

If you have a non-RSS event you wish to include on the calendar please email Paul Gentry with details.