Seminar on Probability and Statistics

Seminar information archive ~07/21Next seminarFuture seminars 07/22~

Organizer(s) Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike

2021/03/29

14:00-15:10   Online
Register at least 3 days before at the reference URL. The URL for participation sent before the seminar.
Masaaki Imaizumi (University of Tokyo)
On Gaussian Approximation for M-Estimator (JAPANESE)
[ Abstract ]
This study develops a non-asymptotic Gaussian approximation theory for distributions of M-estimators, which are defined as maximizers of empirical criterion functions. In existing mathematical statistics literature, numerous studies have focused on approximating the distributions of the M-estimators for statistical inference. In contrast to the existing approaches, which mainly focus on limiting behaviors, this study employs a non-asymptotic approach, establishes abstract Gaussian approximation results for maximizers of empirical criteria, and proposes a Gaussian multiplier bootstrap approximation method. Our developments can be considered as extensions of the seminal works on the approximation theory for distributions of suprema of empirical processes toward their maximizers. Through this work, we shed new lights on the statistical theory of M-estimators. Our theory covers not only regular estimators, such as the least absolute deviations, but also some non-regular cases where it is difficult to derive or to approximate numerically the limiting distributions such as non-Donsker classes and cube root estimators.
[ Reference URL ]
https://docs.google.com/forms/d/e/1FAIpQLSfjQhmmZjWUllB6pQeEMGDRcLCe_0JPgVbEA05rHtcDYAZzqg/viewform