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The Probabilitas Seminar series focuses on high-dimensional problems that combine statistics, probability, information theory, computer science, and other related fields. The upcoming seminar takes place on Friday, March 1, from 10:30-11:30am EST. This week's guest will be Sagnik Nandy of the Wharton School of the University of Pennsylvania.
Title: Orchestrated Approximate Message Passing: A new way of information integration in multimodal data
Abstract: Integrating information across correlated datasets is a central challenge in many contemporary data analysis problems. Despite numerous methods available for this purpose, the lack of clarity regarding their statistical properties poses significant hurdles to achieving robust statistical inference. In this talk, I shall introduce a novel method called Orchestrated Approximate Message Passing for integrating information across multiple correlated datasets. This method is both computationally efficient and statistically optimal under a stylized model, and its asymptotic properties enable users to construct asymptotically valid prediction sets. Subsequently, I shall describe how to use this algorithm to characterize community detection threshold in contextual multilayer networks and integrate information in single-cell multimodal data. This talk is based on joint work with Zongming Ma.