Algorithms for Heavy-Tailed Statistics - Regression, Covariance Estimation, and Beyond
Association for Computing Machinery (ACM) via YouTube
Overview
Syllabus
Intro
High Probability Estimation
Gaussian Covariance Estimation
Gaussian Linear Regression
Covariance Estimation under Weak Assumptions
Linear Regression Rates under Weak Assumptions
Key SOS Assumptions
Towards Statistical Optimality for Covariance Estimation
Towards Statistical Optimality for Linear Regression
Outline
Median of Means Framework
Median of Means - One Dimensional Case
Tournament Estimator - High Dimensional Version
Testing a Candidate Matrix - Optimization Problem
Sos Relaxation - Analysis
Sos Relaxation - Concentration Step
Sos Relaxation - Expectation Step
Matrix Bernstein?
Getting Around Matrix Bernstein
Evidence of Hardness for Covariance Estimation
Low degree Tests for Detection
Taught by
Association for Computing Machinery (ACM)