Asymptotics of spectral projectors of sample covariance
- Series
- Stochastics Seminar
- Time
- Thursday, February 27, 2014 - 15:05 for 1 hour (actually 50 minutes)
- Location
- Skiles 005
- Speaker
- Vladimir Koltchinskii – Gatech
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.