[Forum SIS] Seminar Pierre Alquier @Bocconi - April 22

[Giacomo Zanella]

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
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