From 14:00 to 18:00
Office S 943 on Pokrovsky campus
For another appointment, contact me by email at firstname.lastname@example.org
Topics in High-Dimensional Probability and Statistics
R. Vershynin. High-dimensional probability. An introduction with applications in data science. Cambridge Series in Statistical and Probabilistic Mathematics. vol 47. 2018
High-dimensional linear regression; Lasso procedure.
Black board: [pdf]
Stochastic bloc model; Community detection in random graphs.
Matrix Bernstein inequality.
PCA; Spiked covariance model.
Johnson-Lindenstrauss lemma. Covariance matrix estimation.
Suprema of sub-gaussian random variables.
Generalized Hoeffding inequality for sums of independent sub-gaussian r.v.'s; Sub-exponential distributions; Bernstein inequality for sums of independent sub-exponential r.v.'s.
Elementary properties of sub-gaussian distributions and in particular their concentration properties.
Topics in Statistical Learning Theory
(Modern Methods of Decision Making)
These lectures: (link)
Older lecture notes: (link)
Time: Monday, April 6, 2020, 13:30 (Moscow)
Join Zoom Meeting: here
Meeting ID: 807 937 894