High Dimensional Probability

3 Units

Behavior of random vectors, random matrices, and random projections in high dimensional spaces, with a view toward applications to data sciences. Topics include tail inequalities for sums of independent random variables, norms of random matrices, concentration of measure, and bounds for random processes. Applications may include structure of random graphs, community detection, covariance estimation and clustering, randomized dimension reduction, empirical processes, statistical learning, and sparse recovery problems. Additional work is required for graduate students. Offered as MATH 382 , MATH 482 , STAT 382 and STAT 482 . Prereq: Graduate student standing.