STA 290 Seminar: Mladen Kolar

STA 290 Seminar Series

Thursday, November 3rd, 4:10pm, MSB 1147 (Colloquium Room)

Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)

Speaker:          Mladen Kolar (University of Chicago, Booth School of Business)

Title: "Inference in high-dimensional semi-parametric graphical models"

Abstract: In this talk, we discuss root-n consistent estimators for elements of the latent precision matrix under high-dimensional elliptical copula models. Under mild conditions, the estimator is shown to be asymptotically normal, which allows for construction of tests about presence of edges in the underlying graphical model. The asymptotic distribution is robust to model selection mistakes and does not require non-zero elements to be separated away from zero. The key technical result is a new lemma on the “sign-subgaussian” property, which allows us to establish optimality of the estimator under thesame conditions as in the gaussian setting. Extension to dynamic elliptical copula models will also be presented.