Department of

Mathematics


Seminar Calendar
for events the day of Thursday, February 3, 2022.

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Thursday, February 3, 2022

2:00 pm in zoom: https://illinois.zoom.us/j/84500990503?pwd=Szhhb0xIUktoM2wxQ29xaERmUVpMZz09.,Thursday, February 3, 2022

Robust Mean Estimation

Grigory Terlov (UIUC Math )

Abstract: One of the most fundamental problems of statistics is to estimate the expected value of a random variable given $n$ i.i.d. samples. It is natural to do so by considering the empirical mean, however when one works with heavy-tailed distributions empirical mean would give less than ideal accuracy and confidence intervals for finite $n$ and thus one has to consider other estimators. In the first talk I will elaborate on this problem; present several other estimators such as median-of-means, Catoniís estimator, and Trimmed median; and prove some basics results about them. My talks will be based on the survey paper by Lugosi and Mendelson https://arxiv.org/abs/1906.04280. Here is a zoom link: https://illinois.zoom.us/j/84500990503?pwd=Szhhb0xIUktoM2wxQ29xaERmUVpMZz09.