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Activity Number: 331
Type: Contributed
Date/Time: Tuesday, August 8, 2006 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #305982
Title: A New Approach to Robust Parameter Estimation against Heavy Contamination
Author(s): Hironori Fujisawa*+
Companies: The Institute of Statistical Mathematics
Address: Minami Azabu, Tokyo, 106-8569, Japan
Keywords: bias ; cross entropy ; divergence ; heavy contamination ; Pythagorian relation ; robustness
Abstract:

This talk focuses on a certain cross entropy and divergence, which enable us to reasonably deal with the case of heavy contamination. We see that the bias caused by outliers can become sufficiently small even in the case of heavy contamination. The proposed method can be shown to be a kind of projection from the viewpoint of a Pythagorean relation, which is why it works well. In addition, it is proved that the method of parameter estimation with a sufficiently small bias even in the case of heavy contamination is essentially unique under some conditions.

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