A reminder of the following BIDSA webinar (link https://www.bidsa.unibocconi.eu/wps/wcm/connect/site/bidsa/home/news_events/bidsa+webinar+spring+series+2021+alquier ):
Date: Thursday, April 22, h14:00 (Italy time) Speaker: Pierre Alquier (RIKEN) Title: Robust Estimation via M.M.D. Minimization
Abstract: In this talk, I will study the properties of parametric estimators based on the Maximum Mean Discrepancy (MMD) defined by Briol et al. (2019). In a first time, I will show that these estimators are universal in the i.i.d setting: even in case of misspecification, they converge to the best approximation of the distribution of the data in the model, without ANY assumption on this model. This leads to very strong robustness properties. In a second time,I will show that these results remain valid when the data is not independent, but satisfy instead a weak-dependence condition. This condition is based on a new dependence coefficient, which is itself defined thanks to the MMD. I will show through examples that this new notion of dependence is actually quite general. Reference: This talk is based on the following papers and softwares, with Badr-Eddine Chérief Abdellatif (Oxford University), Mathieu Gerber(University of Bristol), Jean-David Fermanian (ENSAE Paris) and Alexis Derumigny (University of Twente): http://arxiv.org/abs/1912.05737 http://proceedings.mlr.press/v118/cherief-abdellatif20a.html http://arxiv.org/abs/2006.00840 https://arxiv.org/abs/2010.00408 https://cran.r-project.org/web/packages/MMDCopula/
The webinar will be on zoom at: https://zoom.us/j/95795747882 Meeting ID: 957 9574 7882 Passcode: 025765
Kind regards, Giacomo Zanella