The next appointment for the Seminar series in Statistics and Data Science will take place Tuesday 01.10.2019, at Erling Sverdrups plass (Niels Henrik Abel Hus, 8th floor), starting at 14:15.
We welcome Zeljko Kareta, from the Department of Physiology of the Simula Research Laboratory (NOR), who will hold the seminar.
Title: Covariance and precision matrix estimation, and dimension reduction in regression problems
Abstract: Many problems in data analysis can be formulated as learning the structure or a function of the data in a high-dimensional ambient space. To mitigate the effects of high-dimensionality, a number of recent advances are based on the observation that real-world data has an underlying low-dimensional structure. In this talk we present finite sample concentration inequalities, for the estimation of covariance and precision matrices for high-dimensional random vectors, which exploit the low-dimensional complexity of data. We discuss the learning of high dimensional functions where the relationship between the features and the responses is of a lower dimensional nature. Our focus is on the monotonic single-index model, and a novel nonlinear generalization thereof.
Riccardo De Bin & Riccardo Parviero