Robust covariance matrix estimation

Robust covariance matrix estimation

Neyman Seminar
Oct 26, 2016, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Chao Gao, Department of Statistics, University of Chicago
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 statistics 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...