Online estimation of the geometric median in Hilbert spaces: nonasymptotic confidence balls

DOI10.1214/16-AOS1460MaRDI QIDQ2012199zbMATH OpenOpenAlexFDO

Authors Hervé Cardot, Peggy Cénac, Antoine Godichon-Baggioni

Publication date 28 July 2017

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.06930

zbMATH Keywords

functional data analysisrecursive estimationrobust statisticsspatial medianstochastic gradient algorithmsmartingales in Hilbert spaces

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35) Nonparametric tolerance and confidence regions (62G15) Stochastic approximation (62L20)

Abstract: Estimation procedures based on recursive algorithms are interesting and powerful techniques that are able to deal rapidly with (very) large samples of high dimensional data. The collected data may be contaminated by noise so that robust location indicators, such as the geometric median, may be preferred to the mean. In this context, an estimator of the geometric median based on a fast and efficient averaged non linear stochastic gradient algorithm has been developed by Cardot, C'enac and Zitt (2013). This work aims at studying more precisely the non asymptotic behavior of this algorithm by giving non asymptotic confidence balls. This new result is based on the derivation of improved $L^2$ rates of convergence as well as an exponential inequality for the martingale terms of the recursive non linear Robbins-Monro algorithm.

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