Monday, Nov 18, 3:10-4:00pm, Justin Ko

[dda...@gmail.com]

Dear all,

We have an upcoming probability seminar next Monday from Justin Ko (U. Waterloo) in the usual time and place (Fields 210, 3:10-4:00pm).

Best,

Duncan

Title: Pseudo-Maximum Likelihood Theory for High-Dimension Rank-One Inference

Abstract: We consider the task of estimating a rank-one matrix from noisy observations. Models that fall in this framework include community detection and spiked Wigner models. In this talk, I will discuss pseudo-maximum likelihood theory for such inference problems. We provide a variational formula for the asymptotic maximum pseudo-likelihood and characterize the asymptotic performance of pseudo maximum likelihood estimators. We will also discuss the implications of these findings to least squares estimators. Our approach uses the recent connections between statistical inference and statistical physics, and in particular the connection between the maximum likelihood and the ground state of a modified spin glass.