Oberseminar Stochastik und Data Science : Martin Metodiev

Date: 17. July 2024Time: 16:15 – 17:15Location: Raum : 04.363

Title: Estimating large covariance matrices

Abstract: We construct an estimator for high-dimensional covariance matrices when the number of available data points is low with respect to the number of variables. We only require the estimation of a small number of parameters, which are easy to interpret and which can be selected using standard model-choice procedures such as the BIC and the inclusion of interaction effects. The estimator is consistent under no assumptions on the covariance structure, and asymptotically normal with available confidence regions.


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Event Details

17. July 2024
16:15 – 17:15

Raum : 04.363

Event Categories:
Stochastik&Data Science Seminar