Loading Events

Natesh Pillai (Harvard University)

20 June 2016 @ 12:00

 

  • Past event

Details

Date:
20 June 2016
Time:
12:00
Event Category:

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.