Hannan Lecture - Iain Johnstone
Institution: Stanford University
Title: Estimating sparse eigenstructure for high dimensional data
Date: April 24, 2018
Location: C405 Wells Hall
Time: 10:20 AM - 11:10 AM
Refreshments: 10:00 AM
When data is high dimensional, widely used multivariate methods such as principal component analysis can behave in unexpected ways. Upward bias in sample eigenvalues and inconsistency of sample eigenvectors are among the new phenomena that appear. In recent years there has been much progress on exploiting sparsity to respond to these phenomena.
The talk will give an overview of this area.