关于举行新加坡南洋理工大学潘光明教授学术报告会的通知

报告题目:A weighted estimator for the population covariance matrix

报 告 人: 潘光明教授(新加坡南洋理工大学)

报告时间:2018年5月29日（星期二）下午16:20-17:20

报告地点：4号楼4318室

邀 请 人: 王绍臣博士

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数学学院

2018年5月28日

报告摘要:

Shrinkage method and Thresholding method are two most popular approaches in estimating covariance matrices. Each method has its pros and cons. By taking the advantages of these two methods, we introduce a novel weighted method in covariance matrices estimation for high dimension datasets. It is applicable to a wider scope of different structures of covariance matrices. In addition, based on the linear shrinkage method, we propose a new shrinkage estimator, which extends the constraints in usual  shrinkage methods, i.e., $p/n\in(0,\infty)$. By the algorithm provided, we see that the proposed approach is efficient. Some theoretical results about new shrinkage method and weighted covariance estimation methods are also given. The competitive finite-sample performance of the proposed methods is illustrated  through extensive simulations and real data analysis.