Mittwoch, 10. November 2021, 16:45 - 17:45 iCal

ISOR Colloquium

"New results about Correlation Matrices"

Speaker: Peter R. Hansen (University of North Carolina at Chapel Hill)

HS 12 OMP1 (#2.505)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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We obtain a canonical representation for block matrices. The representation facilitates simple computation of the determinant, the matrix inverse, and other powers of a block matrix, as well as the matrix logarithm and the matrix exponential. These results are particularly useful for block covariance and block correlation matrices, where evaluation of the Gaussian log-likelihood and estimation are greatly simplified. We illustrate this with an empirical application using a large panel of daily asset returns. Moreover, the representation paves new ways to regularizing large covariance/correlation matrices and to test block structures in matrices.

Talk based on the following preprint: arxiv.org/abs/2012.02698

 

The talk also can be joined online via ZOOM: univienna.zoom.us/j/92355783757

Meeting room opens at: November 10, 2021 4.30 pm Vienna

Meeting ID: 923 5578 3757

Password: 383975

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at

Erstellt am Donnerstag, 21. Oktober 2021, 09:24
Letzte Änderung am Dienstag, 09. November 2021, 11:37