Seminar - Martin Wells

Event Date: 

Wednesday, February 20, 2019 - 3:30pm

Event Location: 

  • Psych 1924

Title: The middle-scale asymptotics of Wishart matrices


We study the behavior of a real p-dimensional Wishart random matrix with n degrees of freedom when n,p -> ∞ but p/n -> 0. We establish the existence of phase transitions when p grows at the order n{(K+1)/(K+3)} for every positive integer K, and derive expressions for approximating densities between every two phase transitions.  To do this, we make use of a novel tool we call the G-conjugate of an absolutely continuous distribution, which is obtained from the Fourier transform of the square root of its density.  I will also discuss applications of the results to high-dimensional inference, asymptotic equivalence of covariance experiments, and random graph theory.  This is joint work with Didier Chételat.


Martin Wells is the Department Chair and Chales A.Alexander Professor of Statistical Sciences at Cornell University.