[Statlist] ETH Young Data Science Researcher Seminar Zurich - hybrid seminar by Pedro Abdalla, ETH Zurich, 2 June 2022

[Kaiser-Heinzmann Susanne]

We are glad to announce the following talk in the ETH Young Data Science Researcher Seminar Zurich

"Covariance Estimation: Optimal Dimension-free Guarantees for Adversarial Corruption and Heavy Tails“
by Pedro Abdalla, ETH Zurich

Time: Thursday, 2 June 2022, 16.00 - 17.00 CEST
Place: ETH Zurich, HG G 19.2 and Zoom at https://ethz.zoom.us/j/62895316484

Abstract: In this talk we introduce a new estimator of the covariance matrix that achieves the optimal rate of convergence (up to constant factors) in the operator norm under two standard notions of data contamination: We allow the adversary to corrupt an η-fraction of the sample arbitrarily, while the distribution of the remaining data points only satisfies that the Lp-marginal moment with some p≥4 is equivalent to the corresponding L2-marginal moment. Despite requiring the existence of only a few moments, our estimator achieves the same tail estimates as if the underlying distribution were Gaussian. We also discuss a dimension-free Bai-Yin type theorem in the regime p>4.

This talk will take place in a hybrid format. You are very much welcome to listen to the lecture in person at ETH Zurich, HG G 19.2 as well as to attend remotely.


M. Azadkia, G. Chinot, J. Hörrmann, M. Löffler, A. Taeb, N. Zhivotovskiy


Seminar website: https://math.ethz.ch/sfs/news-and-events/young-data-science.html

Young Data Science Researcher Seminar Zurich – Seminar for Statistics | ETH Zurich
math.ethz.ch<https://math.ethz.ch/>






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