[Statlist] Next talk: Friday, November 18, 2011 with Davy Paindaveine, University of Brussels

[Susanne Kaiser-Heinzmann]

ETH and University of Zurich

Proff. P. Buehlmann -  L. Held - H.R. Kuensch -
M. Maathuis -  S. van de Geer - M. Wolf


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We are glad to announce the following talk
Friday, November 18, 2011, 15.15h, HG G 19.1

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by Davy Paindaveine, University of Brussels


Titel:
Semiparametrically Efficient Inference Based On Signed Ranks In  
Symmetric Independent Component Models

Abstract:
We consider semiparametric location-scatter models for which the p- 
variate observation is obtained as X = ΛZ + μ, where μ is a p- 
vector, Λ is a full-rank p × p matrix, and the (unobserved) random p- 
vector Z has marginals that are centered and mutually independent but  
are otherwise unspecified. As in blind source separation and  
independent component analysis (ICA), the parameter of interest  
throughout the paper is Λ. On the basis of n i.i.d. copies of X, we 
develop, under a symmetry assumption on Z, signed-rank one-sample  
testing and estimation procedures for Λ. We exploit the uniform local  
and asymptotic normality (ULAN) of the model to define signed-rank  
procedures that are semiparametrically efficient under correctly  
specified densities. Yet, as usual in rank-based inference, the  
proposed procedures remain valid (correct asymptotic size under the  
null, for hypothesis testing, and root-n consistency, for point  
estimation) under a very broad range of densities. We derive the  
asymptotic properties of the proposed procedures and investigate their  
finite-sample behavior through simulations.

The abstract is also to be found here:  http://stat.ethz.ch/events/research_seminar
_________________________________
ETH Zürich
Seminar für Statistik
Rämistrasse 101
CH-8092 Zürich
Tel: +41 446326518 Fax: +41 446321228
sekretariat at stat.math.ethz.ch







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