The series hosts a seminar every other week on current research topics. The seminar often features an invited guest speaker and occasionally local faculty members, students or others affiliated with the department. The usual time of the seminar is 11-12 pm on Fridays. Professors Joseph Gastwirth (E-mail: email@example.com) and Tatiyana V Apanasovich (E-mail: firstname.lastname@example.org) are the Seminar Series Coordinators.
Date: Friday, Feb 28, 11am-12pm
Location: Phillips Hall, Room 110
Title: Theory and Application of Large Covariance Matrix Estimation in Panel Data Models
Speaker: Dr. Yuan Liao, Department of Mathematics, University of Maryland
Abstract: High dimensional covariance matrix estimation has seen its wide applications in panel data models and factor analysis. While the sparsity assumption on the covariance matrix directly might be restrictive, it is more reasonable to be satisfied when common factors are controlled first. This so-called “conditional sparsity (given factors)” assumption enables us to estimate various covariance matrices with good rate of convergence. Some applications in portfolio allocation are also presented.