Statistics Seminar
Normal Approximation and Concentration for Functions of Sample Covariance Operators
With Vladimir Koltchinskii (Georgia Tech)
Normal Approximation and Concentration for Functions of Sample Covariance Operators
We will discuss several results concerning normal approximation and concentration properties of functions of sample covariance operators, including, in particular, their spectral projection operators
that are of crucial importance in principle component analysis. The problem will be studied in a dimension-free framework with complexity being characterized by the so called “effective rank’’ of the true covariance.
- Speaker: Vladimir Koltchinskii (Georgia Tech)
- Friday 28 October 2016, 16:00–17:00
- Venue: MR12, Centre for Mathematical Sciences, Wilberforce Road, Cambridge..
- Series: Statistics; organiser: Quentin Berthet.