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Jules Depersin (CREST) – "Robust and Fast Estimation for Heavy-Tailed Distributions"

January 22, 2020 @ 2:00 pm - 3:00 pm | Organizers: , François-Pierre Paty, Nicolas Schreuder
The Statistics-Econometrics-Machine Learning Seminar.
Time: 14:00 pm – 15:00 pm
Date: 22nd of January 2020
Place: Room 3001.
Jules DEPERSIN (CREST) – “Robust and Fast Estimation for Heavy-Tailed Distributions”
Abstract : When it comes to estimating the mean of a heavy-tailed distribution (or in the presence of outliers), the empirical mean does not give satisfying results. This issue has been dealt with using tools such as Median-Of-Mean (MOM) estimators. Such estimators are very simple to compute and give optimal rates of convergence when the dimension of the random variable is small, but fail to do so in high-dimensional set-ups. We will try to explain why, giving simple exemples and intuitions, and we will introduce tools needed to study high dimensions.