******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO *******************************************************************

Lunedi 20 Giugno 2016 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario:

Natesh PILLAI (Harvard University)

BAYESIAN FACTOR MODELS IN HIGH DIMENSIONS

Sparse Bayesian factor models are routinely implemented for parsimonious dependence modeling and dimensionality reduction in high-dimensional applications. We provide theoretical understanding of such Bayesian procedures in terms of posterior convergence rates in inferring high-dimensional covariance matrices where the dimension can be larger than the sample size. We will also discuss other high dimensional shrinkage priors and discuss them in the context of factor models.

Tutti gli interessati sono invitati a partecipare.

Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto.

Cordiali saluti, Matteo Ruggiero

--- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it