[YPNG] YPNG 9 Oct 2015

sekhar sekhar.tatikonda at yale.edu
Mon Oct 5 13:18:43 EDT 2015

Hi Folks,

This week Chao Gao will present in the YPNG seminar:

Title: Robust covariance matrix estimation

Abstract: I am going to give the motivation by discussing a simple location
estimation problem under Huber’s contamination model. I will argue that
Huber’s contamination model is a much better framework for robust 
than Hampel’s breakdown point. Under Huber’s framework, Tukey’s location
estimator is shown to be superior than the naive coordinate median. For the
robust covariance matrix estimation problem, I will introduce a new concept
called matrix depth, which is inspired by Tukey’s location depth. I will 
that by maximizing the matrix depth function, we can obtain a good robust
covariance estimator that is minimax optimal under various high-dimensional
settings. Finally, I will give a general minimax theory for Huber’s 
model. The general minimax rate involves an interesting term that 
the influence of the outliers. It coincides with modulus of continuity 
defined by
Donoho. Part of the talk is based on the paper: 

See you Friday in the Stat's classroom at 11am.


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