Related papers: Efficient Multivariate Robust Mean Estimation Unde…
We present an estimator of the covariance matrix $\Sigma$ of random $d$-dimensional vector from an i.i.d. sample of size $n$. Our sole assumption is that this vector satisfies a bounded $L^p-L^2$ moment assumption over its one-dimensional…
This paper is devoted to the estimators of the mean that provide strong non-asymptotic guarantees under minimal assumptions on the underlying distribution. The main ideas behind proposed techniques are based on bridging the notions of…
We consider the problem of estimating the covariance structure of a random vector $Y\in \mathbb R^d$ from a sample $Y_1,\ldots,Y_n$. We are interested in the situation when $d$ is large compared to $n$ but the covariance matrix $\Sigma$ of…
Estimation of the mean vector and covariance matrix is of central importance in the analysis of multivariate data. In the framework of generalized linear models, usually the variances are certain functions of the means with the normal…
We present methods for estimating loss-based measures of the performance of a prediction model in a target population that differs from the source population in which the model was developed, in settings where outcome and covariate data are…
We propose a robust inferential procedure for assessing uncertainties of parameter estimation in high-dimensional linear models, where the dimension $p$ can grow exponentially fast with the sample size $n$. Our method combines the…
Robustness is a key requirement for widespread deployment of machine learning algorithms, and has received much attention in both statistics and computer science. We study a natural model of robustness for high-dimensional statistical…
We consider quantile estimation in a semi-supervised setting, characterized by two available data sets: (i) a small or moderate sized labeled data set containing observations for a response and a set of possibly high dimensional covariates,…
Robust mean estimation is one of the most important problems in statistics: given a set of samples in $\mathbb{R}^d$ where an $\alpha$ fraction are drawn from some distribution $D$ and the rest are adversarially corrupted, we aim to…
We consider the non-parametric regression problem under Huber's $\epsilon$-contamination model, in which an $\epsilon$ fraction of observations are subject to arbitrary adversarial noise. We first show that a simple local binning median…
In this paper, we study the problem of sparse mean estimation under adversarial corruptions, where the goal is to estimate the $k$-sparse mean of a heavy-tailed distribution from samples contaminated by adversarial noise. Existing methods…
Robust estimation is an important problem in statistics which aims at providing a reasonable estimator when the data-generating distribution lies within an appropriately defined ball around an uncontaminated distribution. Although minimax…
We propose a robust multi-fidelity Gaussian process for integrating sparse, high-quality reference monitors with dense but noisy citizen-science sensors. The approach replaces the Gaussian log-likelihood in the high-fidelity channel with a…
The dependency structure of multivariate data can be analyzed using the covariance matrix $\Sigma$. In many fields the precision matrix $\Sigma^{-1}$ is even more informative. As the sample covariance estimator is singular in…
This article studies the \emph{robust covariance matrix estimation} of a data collection $X = (x_1,\ldots,x_n)$ with $x_i = \sqrt \tau_i z_i + m$, where $z_i \in \mathbb R^p$ is a \textit{concentrated vector} (e.g., an elliptical random…
We give an efficient algorithm for robustly clustering of a mixture of two arbitrary Gaussians, a central open problem in the theory of computationally efficient robust estimation, assuming only that the the means of the component Gaussians…
We study the problem of estimating the mean of a distribution in high dimensions when either the samples are adversarially corrupted or the distribution is heavy-tailed. Recent developments in robust statistics have established efficient…
We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps and spike noise. By employing density-power weighting and…
Covariance matrix estimation is one of the most important problems in statistics. To accommodate the complexity of modern datasets, it is desired to have estimation procedures that not only can incorporate the structural assumptions of…
We consider the problem of estimating the mean and covariance of a distribution from iid samples in $\mathbb{R}^n$, in the presence of an $\eta$ fraction of malicious noise; this is in contrast to much recent work where the noise itself is…