Guided random walk through some high dimensional problems

Author: Park Junyong  

Publisher: Springer Publishing Company

ISSN: 0976-836X

Source: Sankhya A, Vol.72, Iss.1, 2010-02, pp. : 81-100

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Abstract

We survey some recent work in high dimensional multiple testing estimation and other multivariate inference problems depending on random matrices and graphical problems. Different approaches to these problems are explored featuring classical procedures like the Benjamini-Hochberg multiple tests, empirical Bayes and Bayes tests and estimates and use of shrinkage as a major method in estimation. The choice of topics reflects to some extent our taste and interests.