A covariance matrix, a banded matrix, and a fast transform

Speaker: 

Professor Gilbert Strang

Affiliation: 

MIT

Date: 

Fri, 15/01/2016 - 11:05am to 11:55am

Venue: 

RC-2063, The Red Centre, UNSW

Abstract: 


It often happens that we know some but not all of the numbers in a covariance matrix. How should we choose the missing entries to complete the matrix? Dempster suggested completing to maximize the determinant. 
Terry Speed recognized a neat "local inverse formula" in that completion. That matrix completion involves some attractive linear algebra that I will highlight. There is also a nice connection to banded matrices with banded inverses, and from there, to fast transforms.

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