|
Abstract:
|
Robust estimation under Huber's $\epsilon$-contamination model has become an important topic in statistics and theoretical computer science. Rate-optimal procedures such as Tukey's median and other estimators based on statistical depth functions are impractical because of their computational intractability. In this talk, I will discuss an intriguing connection between f-GANs and various depth functions through the lens of f-Learning. Similar to the derivation of f-GAN, I will show that these depth functions that lead to rate-optimal robust estimators can all be viewed as variational lower bounds of the total variation distance in the framework of f-Learning. This connection opens the door of computing robust estimators using tools developed for training GANs. In particular, I will show that a JS-GAN that uses a neural network discriminator with at least one hidden layer is able to achieve the minimax rate of robust mean and covariance matrix estimation under Huber's $\epsilon$-contamination model. Interestingly, the hidden layers for the neural net structure in the discriminator class is shown to be necessary for robust estimation.
|
