Monday, April 06, 2020, 16:00
- 18:00
https://kaust.zoom.us/j/3520039297
The thesis focuses on the computation of high-dimensional multivariate normal (MVN) and multivariate Student-t (MVT) probabilities. Firstly, a generalization of the conditioning method for MVN probabilities is proposed and combined with the hierarchical matrix representation. Next, I revisit the Quasi-Monte Carlo (QMC) method and improve the state-of-the-art QMC method for MVN probabilities with block reordering, resulting in a ten-time-speed improvement. The thesis proceeds to discuss a novel matrix compression scheme using Kronecker products. This novel matrix compression method has a memory footprint smaller than the hierarchical matrices by more than one order of magnitude. A Cholesky factorization algorithm is correspondingly designed and shown to accomplish the factorization in 1 million dimensions within 600 seconds. To make the computational methods for MVN probabilities more accessible, I introduce an R package that implements the methods developed in this thesis and show that the package is currently the most scalable package for computing MVN probabilities in R. Finally, as an application, I derive the posterior properties of the probit Gaussian random field and show that the R package I introduce makes the model selection and posterior prediction feasible in high dimensions.
Thursday, March 12, 2020, 12:00
- 13:00
https://kaust.zoom.us/j/255432702
Functional data analysis is a very active research area due to the overwhelming existence of functional data. In the first part of this talk, I will introduce how functional data depth is used to carry out exploratory data analysis and explain recently-developed depth techniques. In the second part, I will discuss spatio-temporal statistical modeling. It is challenging to build realistic space-time models and assess the validity of the model, especially when datasets are large. I will present a set of visualization tools we developed using functional data analysis techniques for visualizing covariance structures of univariate and multivariate spatio-temporal processes. I will illustrate the performance of the proposed methods in the exploratory data analysis of spatio-temporal data. To join the event please go to https://kaust.zoom.us/j/255432702 .
Prof. Daniele Durante, Department of Decision Sciences, Bocconi University, Italy
Wednesday, November 27, 2019, 15:30
- 16:30
B1 L4 room 4102

Abstract

There are several Bayesian models where the posterior density

Monday, November 18, 2019, 00:00
- 23:45
Auditorium 0215, between building 2 and 3
2019 Statistics and Data Science Workshop confirmed speakers include Prof. Alexander Aue, University of California Davis, USA, Prof. Francois Bachoc, University Toulouse 3, France, Prof. Rosa M. Crujeiras Casais, University of Santiago de Compostela, Spain, Prof. Emanuele Giorgi, Lancaster University, UK, Prof. Jeremy Heng, ESSEC Asia-Pacific, Singapore, Prof. Birgir Hrafnkelsson, University of Iceland, Iceland, Prof. Ajay Jasra, KAUST, Saudi Arabia, Prof. Emtiyaz Khan, RIKEN Center for Advanced Intelligence Project, Japan, Prof. Robert Krafty, University of Pittsburgh, USA, Prof. Guido Kuersteiner, University of Maryland, USA, Prof. Paula Moraga, University of Bath, UK, Prof. Tadeusz Patzek, KAUST, Saudi Arabia, Prof. Brian Reich, North Carolina State University, USA, Prof. Dag Tjostheim, University Bergen, Norway, Prof. Xiangliang Zhang, KAUST, Saudi Arabia, Sylvia Rose Esterby, University of British Colombia, Canada, Prof. Abdel El-Shaarawi, Retired Professor at the National Water Research Institute, Canada. View Workshop schedule and abstracts here.
Prof. David L. Donoho, Department of Statistics, Stanford University
Tuesday, November 12, 2019, 15:00
- 16:00
Building 19, MOSTI Auditorium
We consider the problem of recovering a low-rank signal matrix in the presence of a general, unknown additive noise; more specifically, noise where the eigenvalues of the sample covariance matrix have a general bulk distribution. We assume given an upper bound for the rank of the assumed orthogonally invariant signal, and develop a selector for hard thresholding of singular values, which adapts to the unknown correlation structure of the noise.
Prof. David L. Donoho, Department of Statistics, Stanford University
Tuesday, November 12, 2019, 12:00
- 13:00
Building 9, Level 2, Hall 2, Room 2325
A variety of intriguing patterns in eigenvalues were observed and speculated about in ML conference papers. We describe the work of Vardan Papyan showing that the traditional subdisciplines, properly deployed, can offer insights about these objects that ML researchers had.
Prof. Rui Song, Department of Statistics, North Carolina State University
Sunday, March 31, 2019, 12:00
- 13:00
B3 L5 Room 5220
Dynamic treatment regimes are a set of decision rules and each treatment decision is tailored over time according to patients’ responses to previous treatments as well as covariate history. There is a growing interest in development of correct statistical inference for optimal dynamic treatment regimes to handle the challenges of nonregularity problems in the presence of nonrespondents who have zero-treatment effects, especially when the dimension of the tailoring variables is high.