Median-of-Means
Speaker: Beomjo Park
Abstract: I will recall the median-of-means (MoM) principle for estimating mean and risk minimizers (cf. [1,2]). The estimators based on MoM provide robustness under heavy-tailed distributions and adversarial contamination. These estimators achieve an optimal rate of convergence in certain models with weak assumptions. We'll discuss applications of the MoM principle and compare them with alternative approaches such as trimming. https://doi.org/10.1007/s10208-019-09427-x ; https://doi.org/10.1214/19-AOS1828