A generalized Catoni's M-estimator under finite -th moment assumption with (1,2)

DOI10.1214/21-EJS1911MaRDI QIDQ2074299zbMATH OpenOpenAlexWikidataFDO

Authors Peng Chen, Xinghu Jin, Xiang Li, Lihu Xu

Publication date 9 February 2022

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.05008, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/A-generalized-Catonis-M-estimator-under-finite-%ce%b1-th-moment/10.1214/21-EJS1911.full

zbMATH Keywords

deviation boundempirical mean\(\alpha\)-th moment\(\ell_1\) regressionCatoni's M-estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35)

Abstract: We generalize the { $mM$-estimator} put forward by Catoni in his seminal paper [C12] to the case in which samples can have finite $alpha$-th moment with $alphain(1,2)$ rather than finite variance, our approach is by slightly modifying the influence function $varphi$ therein. The choice of the new influence function is inspired by the Taylor-like expansion developed in [C-N-X]. We obtain a deviation bound of the estimator, as $alphaightarrow2$, this bound is the same as that in [C12]. Experiment shows that our generalized $mM$-estimator performs better than the empirical mean estimator, the smaller the $alpha$ is, the better the performance will be. As an application, we study an $el{l}_1$ regression considered by Zhang et al. [Z-Z] who assumed that samples have finite variance, and relax their assumption to be finite {$alpha$-th} moment with $alphain(1,2)$.

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Cited in

(3)

• Catoni-style confidence sequences for heavy-tailed mean estimation
• Robust supervised learning with coordinate gradient descent
• Asymptotic normality and confidence region for Catoni's Z estimator

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