Noureddine El
Karoui
Assistant Professor
Department of Statistics
UC, Berkeley
Current research interests:
Theory and applications of random matrices. Large dimensional covariance estimation and properties of covariance matrices. Connections with mathematical finance.
Applied statistics.
Publications:
Random matrices:
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Tracy-Widom limit for the largest eigenvalue of a large class
of complex sample covariance matrices. |
Annals of Probability, Vol. 35, No 2 (2007) |
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A rate of convergence result for the largest eigenvalue of
complex white Wishart Matrices. |
Annals of Probability, Vol. 34, No 6 (2006) |
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Recent results about the largest eigenvalue of random covariance matrices and statistical application. |
Acta Physica Polonica B, Vol.36 No9 (2005) |
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On the largest eigenvalue of Wishart matrices with identity covariance when n, p and n/p tend to infinity. |
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Spectrum estimation for large dimensional covariance
matrices using random matrix theory. |
Accepted in The Annals of Statistics |
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Operator norm consistent estimation of large dimensional
sparse covariance matrices |
Accepted in The Annals of Statistics |
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Concentration
of measure and spectra of random matrices: with applications to correlation
matrices, elliptical distributions and beyond |
Accepted in The Annals of Applied Probability |
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The spectrum of kernel random matrices |
Accepted in The Annals of Statistics |
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On information plus noise kernel random matrices |
Acceptd in The Annals of Statistics |
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High-dimensionality
effects in the Markowitz problem and other quadratic programs with linear
equality constraints: risk underestimation On the
realized risk of Markowitz portfolios Second
accurate distributed eigenvector computation for extremely large matrices
(With A. d’Aspremont) |
Accepted in The Annals of
Statistics Submitted Submitted |
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Applied Statistics:
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Getting more from digital SNP data. |
Noureddine El Karoui, Wei Zhou and Alice Whittemore. |
Statistics in Medicine Vol.25, 18, 2006, pp: 3124-3133 |
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A non parametric classification and estimation method. |
Noureddine El Karoui and Alice Whittemore. |
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Contact:
UC, Berkeley
Department of Statistics
367 Evans Hall
My email address is nkaroui at stat dot
My office is 311 Evans.
Education: Ecole Polytechnique, France - PhD (Statistics) and MS (Financial Mathematics), Stanford.
Post-doctoral work with Alice Whittemore, Stanford School of Medicine
Research supported in part by NSF Grant DMS-06-05169