Related papers: Robust Statistical Estimators with Bounded Empiric…
In this paper, we develop connections between two seemingly disparate, but central, models in robust statistics: Huber's epsilon-contamination model and the heavy-tailed noise model. We provide conditions under which this connection…
Robust covariance estimation is the following, well-studied problem in high dimensional statistics: given $N$ samples from a $d$-dimensional Gaussian $\mathcal{N}(\boldsymbol{0}, \Sigma)$, but where an $\varepsilon$-fraction of the samples…
For an ergodic Brownian diffusion with invariant measure $\nu$, we consider a sequence of empirical distributions ($\nu$n) n$\ge$1 associated with an approximation scheme with decreasing time step ($\gamma$n) n$\ge$1 along an adapted…
We study confidence intervals based on hard-thresholding, soft-thresholding, and adaptive soft-thresholding in a linear regression model where the number of regressors $k$ may depend on and diverge with sample size $n$. In addition to the…
We study the algorithmic problem of robust mean estimation of an identity covariance Gaussian in the presence of mean-shift contamination. In this contamination model, we are given a set of points in $\mathbb{R}^d$ generated i.i.d. via the…
In this paper, we study the estimation of the threshold predictive regression model with hybrid stochastic local unit root predictors. We demonstrate the estimation procedure and derive the asymptotic distribution of the least square…
In this paper, we propose self-tuned robust estimators for estimating the mean of heavy-tailed distributions, which refer to distributions with only finite variances. Our approach introduces a new loss function that considers both the mean…
Let $E$ be a space of observables in a sequence of trials $\xi_n$ and define $m_n$ to be the empirical distributions of the outcomes. We discuss the almost sure convergence of the sequence $m_n$ in terms of the $\psi$-weak topology of…
We consider a high-dimensional mean estimation problem over a binary hidden Markov model, which illuminates the interplay between memory in data, sample size, dimension, and signal strength in statistical inference. In this model, an…
We introduce new estimators for robust machine learning based on median-of-means (MOM) estimators of the mean of real valued random variables. These estimators achieve optimal rates of convergence under minimal assumptions on the dataset.…
The panel data regression models have gained increasing attention in different areas of research including but not limited to econometrics, environmental sciences, epidemiology, behavioral and social sciences. However, the presence of…
Approximate entropy (ApEn) and sample entropy (SampEn) are widely used for temporal complexity analysis of real-world phenomena. However, their relationship with the Hurst exponent as a measure of self-similarity is not widely studied.…
The Cram\'er-Rao bound serves as a crucial lower limit for the mean squared error of an estimator in frequentist parameter estimation. Paradoxically, it requires highly accurate prior knowledge of the estimated parameter for constructing…
Improving Importance Sampling estimators for rare event probabilities requires sharp approximations of conditional densities. This is achieved for events E_{n}:=(f(X_{1})+...+f(X_{n}))\inA_{n} where the summands are i.i.d. and E_{n} is a…
Adaptive experiment designs can dramatically improve statistical efficiency in randomized trials, but they also complicate statistical inference. For example, it is now well known that the sample mean is biased in adaptive trials.…
We consider a longitudinal data structure consisting of baseline covariates, time-varying treatment variables, intermediate time-dependent covariates, and a possibly time dependent outcome. Previous studies have shown that estimating the…
The need for accurate SQL progress estimation in the context of decision support administration has led to a number of techniques proposed for this task. Unfortunately, no single one of these progress estimators behaves robustly across the…
Stochastic convex optimization is one of the most well-studied models for learning in modern machine learning. Nevertheless, a central fundamental question in this setup remained unresolved: "How many data points must be observed so that…
We define susceptibilities as a measure of the response of an observable quantity of a parameterized statistical model to a perturbation of the data for a general class of observables. We define estimators for these susceptibilities as…
As an effective nonparametric method, empirical likelihood (EL) is appealing in combining estimating equations flexibly and adaptively for incorporating data information. To select important variables and estimating equations in the sparse…