Elizabeth Ramirez on Transition Matrix Estimation

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Note that this meetup has MOVED from Two Sigma to Microsoft Reactor at 11 Times Square (42nd and 8th)! You _must_ have your real name on your account _and_ provide a photo ID at the entrance to attend, per the venue rules.

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Elizabeth Ramirez will be presenting the paper "Transition Matrix Estimation in High Dimensional Time Series" (http://proceedings.mlr.press/v28/han13a.pdf).

About the Paper:

The state-transition matrix $A$ is a matrix you use to propagate the state vector over time, i.e. $x_{t+1} = Ax_{t} + Bu$. It usually comes from the equations that describe the system, but if you don’t know the dynamics of your system or the system is stochastic, this matrix has to be estimated. This paper presents multiple methods to estimate this matrix for high-dimensional VAR time series.

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Speaker:

Elizabeth Ramirez is an Electrical Engineer and Applied Mathematician. I'm an Applied Scientist at Descartes Labs, where I solve very large linear systems that model complex systems, like transportation. https://twitter.com/eramirem

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You'll have to check-in with security with your Name/ID. Definitely sign-up if you’re going to attend–unfortunately people whose names aren’t entered into the security system in advance won’t be allowed in.

After Elizabeth's presentation, we will open up the floor to discussion and questions.

**Talks are always recorded on video and released ~2 weeks after the meetup.**

We hope that you'll read some of the papers and references before the meetup, but don't stress if you can't. If you have any questions, thoughts, or related information, please visit #pwlnyc (https://paperswelove.slack.com/messages/pwlnyc/) on slack (http://papersweloveslack.herokuapp.com/), our GitHub repository (https://github.com/papers-we-love/papers-we-love), or add to the discussion on this event's thread.