|Title:||Sample Size Requirement for some Low-dimensional Estimation Problems|
|Group/Series/Folder:||Record Group 8.15 - Institute for Advanced Study|
Series 3 - Audio-visual Materials
|Notes:||HKUST International Forum on Probability and Statistics. Talk no. 2.|
Title from opening screen.
The Second HKUST International Forum on Probability and Statistics (2013), held 19 December, 2013, at the Hong Kong University of Science and Technology. Co-sponsored by the HKUST Jockey Club Institute for Advanced Study and the Center for Statistical Science.
Abstract: The speaker considers sample size requirement for estimating low-dimensional parameters at the parametric rate with high-dimensional data. For the estimation of elements of a precision matrix, the speaker provides a sufficient and necessary condition on the sample size under a side condition on the range of the spectrum of the precision matrix. Efficient estimators are provided in a semiparametric sense when the sample size is sufficiently large but still allowed to be of smaller order than the size of the precision matrix. However, the sample size requirement can be substantially weakened in certain associated regression problems.
Duration: 35 min.
|Appears in Series:||8.15:3 - Audio-visual Materials|
Videos for Public -- Distinguished Lectures