[Statlist] Seminar ueber Statistik

[Christina Kuenzli]

                       ETH and University of Zurich 
      Proff. A.D. Barbour -- P. Buehlmann -- F. Hampel -- H.R. Kuensch 

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             We are pleased to announce the following talk
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Friday, November 26, 2004, 15.15 h, LEO C 15
       
      Juhyun Park, University of Zurich 

      Nonparametric inference based on indirect measurement
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Friday, December 3rd, 2004, 15.15 h, LEO C 15

      Gabriel Frahm, Center of Advanced European Studies and Research, Bonn

      Random Matrix Theory and Robust Covariance Matrix Estimation
      for Generalized Elliptical Distributions

The traditional class of elliptical distributions is extended to allow 
for asymmetries. A completely robust covariance matrix estimator 
(the `spectral estimator') for the new class of `generalized elliptical 
distributions'  is presented. It is shown that the spectral estimator 
corresponds to an M-estimator proposed by Tyler (1983) in the context of 
elliptical distributions. Both the generalization of elliptical 
distributions and the development of a robust covariance matrix 
estimator are motivated by the stylized facts of empirical finance. 
Further, some elements of random matrix theory (RMT) are presented. RMT 
can be used for analyzing high-dimensional stochastical systems. It is 
shown that the fundamental theorem of RMT (the `Mar\v{c}enko-Pastur 
law') fails if the sample covariance matrix is considered as a random 
matrix in the context of elliptically distributed and heavy tailed data. 
But substituting the sample covariance matrix by the spectral estimator 
resolves the problem and the Mar\v{c}enko-Pastur law remains valid.
(Joint work with Uwe Jaekel)}
             
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Further information: Christina Kuenzli, Statistics Seminar of ETH Zurich 
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Everybody is kindly invited
 
Eidgenoessische Technische Hochschule Zuerich
Swiss Federal Insitute of Technology Zurich

________________________________________________________
Christina Kuenzli            <kuenzli using stat.math.ethz.ch>
Seminar fuer Statistik      
Leonhardstr. 27,  LEO D11          phone: +41 1 632 3438         
ETH-Zentrum,                       fax  : +41 1 632 1228 
CH-8092 Zurich, Switzerland        http://stat.ethz.ch/~