UW Probability Seminar
Next Seminar:
Time: Monday, June 2, 2008 at 2:30 pm.
Location: LOW 101
Speaker: Peter Hoff (University of Washington)
Title: Probability models over the Stiefel manifold, with applications
to multivariate analysis
Abstract:
Normal vectors and orthonormal matrices play an important role
in spatial statistics, multivariate analysis and matrix decomposition methods.
Probability models for these
objects can play a role in describing heterogeneity and sampling variability across
multivariate and matrix-valued data.
In this talk I describe some simple exponential family models for the set of orthonormal
matrices, and illustrate their use in a few data analysis examples. In particular, I
will show how to model the heterogeneity
in a population of covariance matrices via a model for the heterogeneity in their
eigenvector matrices. Estimating the parameters in this model allows us to share
information across the different covariance matrices, resulting for improved estimation
for each specific covariance matrix.
Archive of previous talks
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