Robust estimation of U-statistics

DOI10.1016/J.SPA.2016.04.021MaRDI QIDQ335650zbMATH OpenOpenAlexFDO

Authors Emilien Joly, Gábor Lugosi

Publication date 2 November 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.04580

zbMATH Keywords

\(U\)-statisticsrobust estimationmedian-of-means estimator

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Estimation in multivariate analysis (62H12) Inequalities; stochastic orderings (60E15)

Abstract: An important part of the legacy of Evarist Gin'e is his fundamental contributions to our understanding of $U$-statistics and $U$-processes. In this paper we discuss the estimation of the mean of multivariate functions in case of possibly heavy-tailed distributions. In such situations, reliable estimates of the mean cannot be obtained by usual $U$-statistics. We introduce a new estimator, based on the so-called median-of-means technique. We develop performance bounds for this new estimator that generalizes an estimate of Arcones and Gin'e (1993), showing that the new estimator performs, under minimal moment conditions, as well as classical $U$-statistics for bounded random variables. We discuss an application of this estimator to clustering.

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Cited in

(29)

• Robust modifications of U-statistics and applications to covariance estimation problems
• Uniform consistency and uniform in number of neighbors consistency for nonparametric regression estimates and conditional \(U\)-statistics involving functional data
• Higher order concentration of measure
• Robust w-Estimators for Cryo-EM Class Means
• Solvable integration problems and optimal sample size selection
• Asymptotic properties of conditional U -statistics using delta sequences
• A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing
• Random geometric graph: some recent developments and perspectives
• Robust estimation with unknown noise statistics
• Computing Robust Statistics via an EM Algorithm
• Rates of the strong uniform consistency with rates for conditional \(U\)-statistics estimators with general kernels on manifolds
• Shrinkage estimation of higher-order Bochner integrals
• On the variable bandwidth kernel estimation of conditional \(U\)-statistics at optimal rates in sup-norm
• Uniform in bandwidth consistency of conditional \(U\)-statistics adaptive to intrinsic dimension in presence of censored data
• Empirical variance minimization with applications in variance reduction and optimal control
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• The robust nearest shrunken centroids classifier for high-dimensional heavy-tailed data
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• Weak-convergence of empirical conditional processes and conditional \(U\)-processes involving functional mixing data
• scientific article; zbMATH DE number 3917454 (Why is no real title available?)
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