Statistics Colloquium: STA 290
Thursday, January 30th at 4:10pm, MSB 1147 (Colloquium Room)
Refreshments at 3:30pm in MSB 4110 (4th floor lounge)
Speaker: Lutz Dümbgen, University of Bern, Switzerland
Title: "New Algorithms for M-Estimation of Multivariate Location and Scatter"
Abstract: The talk starts with an overview of multivariate M-functionals of location and scatter, including symmetrized M-functionals of scatter. Then we discuss general properties of the underlying log-likelihood function. After that we review currently used fixed-point algorithms (which are strongly related to iteratively reweighted moments). It is explained why these algorithms are intrinsically suboptimal. Then an alternative strategy, based on a "partial Newton" approach, is developed. Numerical examples and, if time permits, applications of M-estimators to Independent Component Analysis are presented.
This is joint work with Klaus Nordhausen (Turku) and Heike Schuhmacher (Bern).