Asymptotics of spatial-sign based location and scatter estimators in high dimensions

报告人：李卫明

报告地点：腾讯会议ID：119 719 584

报告时间：2021年11月08日星期一10：30-11：30

报告摘要：

This work investigates asymptotic behaviors of spatial-sign based location and scatter estimators, i.e., the sample spatial median and its associated spatial-sign covariance matrix, in high-dimensional frameworks. Two stochastic representations for the spatial median are provided with explicit forms, which can characterize the first and second order fluctuations of the spatial median, in the almost sure sense. Beyond this, a new central limit theorem is established for linear spectral statistics of the spatial-sign covariance matrix. All these results are obtained under a general population model that covers the popular independent components model and the family of elliptical distributions.

主讲人简介：

李卫明，2010年毕业于东北师范大学，获博士学位。2016/07-至今，任教于上海财经大学，统计与管理学院，副教授。研究领域包括高维统计分析，随机矩阵理论等。