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Covariance Regression with Network Structure

Time:2013-12-31  Author:  ClickTimes:
TitleCovariance Regression with Network Structure
Speaker兰伟 西南财经大学
Date/Time2014年1月6日下午3:00-4:00 六号楼二楼报告厅
Place
Abstract
Brief Introduction to Speaker

In this talk, we propose a regression approach to estimate the high dimensional covariance matrix with a given network structure. Using prior information contained in the network relationships, we model the covariance as a polynomial function of the symmetric adjacency matrix. The resulting covariance matrix estimator based on the maximum likelihood approach is guaranteed to be positive definite even in finite samples. Under mild conditions, we obtain the theoretical properties of the resulting estimators.

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