Asymptotics of spectral projectors of sample covariance

Stochastics Seminar
Thursday, February 27, 2014 - 15:05
1 hour (actually 50 minutes)
Skiles 005
Several new results on asymptotic normality and other asymptotic properties of sample covariance operators for Gaussian observations in a high-dimensional setting will be discussed. Such asymptotics are of importance in various problems of high-dimensional statistics (in particular, related to principal component analysis). The proofs of these results rely on Gaussian concentration inequality. This is a joint work with Karim Lounici.