Loading Events

« All Events

  • This event has passed.

Alexey NAUMOV (Higher School of Economics, Moscow) – “Gaussian approximation for maxima of large number of quadratic forms of high-dimensional random vectors “

May 13, 2:00 pm - 3:15 pm

The Statistical Seminar: Every Monday at 2:00 pm.

Time: 2:00 pm – 3:15 pm
Date: 13 th of May 2019
Place: Room 3001.

Alexey NAUMOV (Higher School of Economics, Moscow) – “Gaussian approximation for maxima of large number of quadratic forms of high-dimensional random vectors “

Abstract: Let (X_i)_{i=1, … , n} be independent identically distributed random observations taking values in a high dimensional space and (Q_j)_{j=1, …, p} be symmetric positive definite matrices. We consider joint distribution function of quadratic forms (Q_j S_n, S_n), where S_n is the normalized sum of observations, and prove the rate of Gaussian approximation with explicit dependence on n, p and dimension. We also compare this result with results of Bentkus (2003) and Chernozhukov, Chetverikov, Kato (2016). Statistical applications will be discussed as well. The talk is based on the joint project with Friedrich Goetze, Vladimir Spokoiny and Alexander Tikhomirov.

Organizers:
Cristina BUTUCEA, Alexandre TSYBAKOV, Julie JOSSE, Eric MOULINES, Mathieu ROSENBAUM

Sponsors:
CREST-CMAP

 

Details

Date:
May 13
Time:
2:00 pm - 3:15 pm
Event Category:

Venue