Northwestern Events Calendar

Feb
20
2025

Probability Seminar | Curtis Grant (Northwestern)

When: Thursday, February 20, 2025
4:00 PM - 5:00 PM CT

Where: Lunt Hall, 104, 2033 Sheridan Road, Evanston, IL 60208 map it

Audience: Faculty/Staff - Post Docs/Docs - Graduate Students

Contact: Reza Gheissari  

Group: Department of Mathematics: Probability Seminar

Category: Lectures & Meetings

Description:

Title: Pseudo Maximum Likelihood Estimation Theory For High Dimension Rank one inference tasks

Abstract: We study the problem of recovering rank one information from a random matrix whose entries are generated conditionally on the signal in the large N limit. We develop the theory of several classical estimators for such models and obtain a variational characterization for their performance. By proving a universality result, we show that four information parameters determine the performance of these estimators. The universality result allows us to determine a form of equivalence for estimation problems. Consequently, we obtain a complete description of the performance of the least-squares estimator for any rank one inference problem.
This is joint work with Aukosh Jagannath and Justin Ko. 

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