Statistics / Biostatistics Seminar: Iain Johnstone
DATE: Tuesday, May 6th, 2014
TIME: 4:10pm (refreshments at 3:30pm, MSB 4110)
LOCATION: Multipurpose Room, Student Community Center (please note location change from previous announcement)
SPEAKER: Iain Johnstone, Dept of Statistics, Stanford University
TITLE: Random matrices in statistics: testing in spiked models
Principal components analysis is a staple of multivariate statistical analysis.
Viewed as the study of the eigenvalues of a sample covariance matrix, it is an important example for random matrix theory.
The talk will explore the interplay between these two subjects by focusing on covariance matrices which are drawn from low rank perturbations of a scaled identity matrix. Such models arise in settings as diverse as finance, genetics and signal processing -- brief examples will be given.
We give an overview of some results of several people on estimating and testing in settings with both weak and strong signals.