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Gil KUR (MIT) – " On the Minimax Optimality of the Maximum Likelihood in the non-Donsker regime "
Time: 2:00 pm – 3:15 pm
Date: 9th of November 2020
Gil KUR (MIT) – ” On the Minimax Optimality of the Maximum Likelihood in the non-Donsker regime “
Abstract: The minimax optimality of the Maximum Likelihood Estimator (MLE) is a fundamental question in mathematical statistics. For Donsker classes, it is well-known that the MLE is minimax optimal. However, in the non-Donsker regime, the MLE could be minimax sub-optimal. In this talk, we present new techniques to evaluate the statistical performance of the MLE in the non-Donsker regime. As an application, we demonstrate that the log-concave MLE is optimal in all dimensions. In comparison, for convex regression, the MLE can be suboptimal when $d \ge 5$.
This talk is based on joint work with Dagan, Gao, Guntuboyina, Rakhlin and Sen.
Cristina BUTUCEA (CREST), Alexandre TSYBAKOV (CREST), Karim LOUNICI (CMAP) , Zoltan SZABO (CMAP)