[Ml-stat-talks] Statistics Seminar at ORFE

Jelena Bradic jbradic at princeton.edu
Tue Sep 21 10:59:58 EDT 2010


Dear all,

Tomorrow (September 22nd) we will be having  a talk by Davide La  
Vecchia from University of Lugano with the title "Higher-Order  
Robustness".

This is a joint work with Elvezio Ronchetti and Fabio Trojani.

The talk will be in the Statistics Lab, room 213 in Sherrerd Hall.


An abstract of the  talk is included.

We investigate higherorder robustness for statistical functionals by  
going beyond
the linear term (Influence Function) in the von Mises expansion and  
we provide the
conditions needed to ensure the stability of the asymptotic bias to  
higher order. We
then define a class of admissible M-functionals which have second- 
order robustness.
Our functionals allow for a strong control of the bias (B-robustness)  
and the variance
(V-robustness), while preserving high efficiency at the reference  
model. We also
investigate the link between the second-order robustness and the  
stability of the
saddlepoint approximation of the density of M-estimators. Monte Carlo  
simulation
provides evidence that our estimators improve both MLE and first- 
order optimally B-
robust M-estimators, in moderate to small sample sizes and for  
moderate deviations
from the reference model. An empirical analysis of the extreme  
negative returns of
the Nikkei 225 illustrates the methodology in a real-data application.


Regards,
Jelena Bradic




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