Information Geometry of the Robust Maximum Mean Power Likelihood Estimation


Rajesh Sundaresan


Indian Institute of Science
Department of Electrical Communication Engineering
Bangalore 560012


Tuesday, 20 January 2015, 13:45 to 14:45



Abstract: The maximum "mean power" likelihood estimation procedure (proposed by [Basu et al., Biometrika, 1998]) is a robust variant of the maximum likelihood estimation procedure. Given iid samples coming from an unknown distribution, a member of a given parametric family of distributions, the mean power likelihood estimation procedure is to find the parameter of the distribution that is closest, in a particular sense, to the empirical distribution of the samples. One may view the resulting distribution as a "projection" of the empirical distribution on the parametric family. In this talk, I will highlight the geometry associated with this projection. I will also discuss a simplified computation procedure, one that is suggested by the geometric view point, when the estimation is of the parameter of a power-law family (this is joint work with M. Ashok Kumar). arXiv:1410.5550

Biography: Rajesh Sundaresan is an associate professor at the ECE department of IISc Bangalore.