Random matrix theory and high dimensional statistics inference

GUANGMING PAN

<p class="MsoNormal" align="left" style="line-height: 18pt;"><span style="font-family: Arial;"><span lang="EN-US" style="font-size: 11pt;">Abstract</span></span><span lang="EN-US" style="font-size: 11pt; font-family: Arial, sans-serif;"><o:p></o:p></span></p> <p class="MsoNormal" align="left" style="line-height: 18pt;"><span style="font-family: Arial;"><span lang="EN-US" style="font-size: 11pt;">This talk is about a short introduction to random matrix theory (large sample covariance matrices) </span><span lang="EN-US" style="font-size: 11pt;">including CLT of the extreme eigenvalue and linear spectral statistics. Its applications to high</span><span lang="EN-US" style="font-size: 11pt;"> dimensional statistics inference will be discussed as well.</span></span><span lang="EN-US" style="font-size: 11pt; font-family: Arial, sans-serif;"><o:p></o:p></span></p>

2014-12-17(星期三)16:30-18:00

Economics Building N303

English

WISE & SOE

Department of Statistics

系列讲座

<p>&nbsp;Guangming Pan,&nbsp;Associate Professor of&nbsp;Nanyang Technological University,&nbsp;Singapore</p> <p>CV:&nbsp;<a href="/EventsMgr/Upload/File/2014/12/20141201085519990.pdf">EventsMgr/Upload/File/2014/12/20141201085519990.pdf</a></p>

【2014年12月17日】厦门大学高级计量经济学与统计学系列讲座2014秋季学期第十讲（总第53讲）