Live Plenary Talks

Ronen Eldan (Weizmann Institute)

Caroline Uhler (MIT): Your dreams may come true with MTP2

Abstract: We study probability distributions that are multivariate totally positive of order two (MTP2). Such distributions appear in various applications from ferromagnetism to Brownian motion tree models used in phylogenetics to factor analysis models used in finance. We first describe some of the intriguing properties of such distributions with respect to conditional independence, graphical models, and parameter estimation. We end with an application to covariance matrix estimation for portfolio selection.