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SUMMARY:How weak are weak factors? Uniform inference for signal strength i
 n signal plus noise models
DTSTART:20260522T090000Z
DTEND:20260522T101500Z
DTSTAMP:20260607T043800Z
UID:indico-event-16468@indico.math.cnrs.fr
DESCRIPTION:Speakers: Vadim Gorin (California University - Berkeley)\n\nWe
  discuss four classical signal-plus-noise models: the factor model\, spike
 d sample covariance matrices\, the sum of a Wigner matrix and a low-rank p
 erturbation\, and canonical correlation analysis with low-rank dependencie
 s. The objective is to construct confidence intervals for the signal stren
 gth that are uniformly valid across all regimes: strong\, weak\, and criti
 cal signals. We demonstrate that traditional Gaussian approximations fail 
 in the critical regime. Instead\, we introduce a universal transitional di
 stribution that enables valid inference across the entire spectrum of sign
 al strengths. The approach is illustrated through applications in macroeco
 nomics and finance.\n\nhttps://indico.math.cnrs.fr/event/16468/
LOCATION:Auditorium 4 (Toulouse School of Economics)
URL:https://indico.math.cnrs.fr/event/16468/
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