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

## Speaker:

Professor Gilbert Strang

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.