The Extrapolation of Correlation
Apr 20, 2023, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Victor M. Panaretos, Institute of Mathematics, EPFL
We discuss the problem of positive-semidefinite extension: extending a partially specified covariance kernel from a subdomain Ω of a rectangular domain I x I to a covariance kernel on the entire domain I x I. For a broad class of domains Ω called serrated domains, we can obtain a complete picture. Namely, we demonstrate that a canonical completion always exists and can be explicitly...