[Forum SIS] DEC statistics seminar - May 18th - LUCA GRECO

[Raffaella Piccarreta]

We are glad to announce the next: 



DEC - Statistics Seminar 

Thursday, May 18 th , 2017 

Bocconi University 

12:30 pm 

Room 3-E4-SR03, Via Rontgen 1 - 3rd floor 





Luca Greco (Università degli Studi del Sannio) 



Weighted Likelihood estimation of multivariate location and scatter: model fitting, outlier detection and robust data reduction 



Abstract 

Several multivariate techniques are based on the the assumption of multivariate normality and the use of the sample mean vector and covariance matrix. Contamination in the data may have dramatic effects on all those techniques based on classical multivariate estimation. On the contrary, the use of robust estimates of location and covariance leads to multivariate techniques that are resistant to contamination. Furthermore, robust methods provide effective tools to detect outliers, find unexpected structures in the data and explore the types of occurred departures from the assumed model. The weighted likelihood is a general methodology designed to provide robust inferences. Here, a novel approach to obtain weighted likelihood estimates of multivariate location and scatter is discussed. A weighting scheme is proposed that is based on the distribution of the Mahalanobis distances rather than the distribution of the data at the assumed model. This strategy allows to avoid the curse of dimensionality affecting non-parametric density estimation, that is involved in the construction of the weights through the Pearson residuals. Then, weighted likelihood based outlier detection rules and robust dimensionality reduction techniques, such as principal component analysis or linear discriminant analysis, are developed. 



Kind regards, 

Raffaella Piccarreta and Isadora Antoniano 



The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar 



ATTENTION: 

If you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please confirm your participation by sending an email to simona.gagino a unibocconi.it 
In addition, we suggest to print, fill out and send the attached form (to give your consent to personal data handling) via email to the same address. In this way, the check-in procedure at the entrance will be faster and easier. 
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Raffaella Piccarreta 
Associate Professor - Statistics 
DEC - Department of Decision Sciences, 
Universita' L.Bocconi, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136, Milano. 
email: piccarreta a unibocconi.it 
tel. +39-02-58365659 / fax +39-02-58365630 

Web page (ENGLISH VERSION): http://faculty.unibocconi.eu/raffaellapiccarreta/ 
(ITALIAN VERSION): http://faculty.unibocconi.it/raffaellapiccarreta/ 
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