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Short course "Random Matrices in Statistics", ULB, 27,28 March 2017

Ajouté le Mercredi 15 Mars 2017

The course, given by Professor Alexander Aue from UC Davis, will be held at ULB on March 27 and 28, on Campus Solbosch in building R42:

March 27 :
9am - 12 : R42.2.110
2pm - 4pm : R42.2.110

March 28 :
9am - 12 : R42.2.110


Random Matrices in Statistics

This short course gives an introduction to the applications of random matrix theory in statistics, grouped around four major themes. The first gives some background on random matrix theory, its origin and areas of application, and an overview of the fundamental results. The second looks more carefully at useful tools and proof techniques. The third and fourth deal with applications to regularized high-dimensional two-sample tests and asymptotic results of eigenvalue distribution obtained from (symmetrized auto)covariance matrices of high-dimensional linear processes. Required for participation in this short course is a good knowledge of basic probability and mathematical statistics, but the material is presented as self-contained as possible. 

Dernière mise à jour par EDT STAT-ACTU Mercredi 15 Mars 2017