A General Decision Theory for Huber's $\epsilon$-Contamination Model

@article{Chen2015AGD,
  title={A General Decision Theory for Huber's \$\epsilon\$-Contamination Model},
  author={Mengjie Chen and Chao Gao and Zhao Hua Ren},
  journal={arXiv: Statistics Theory},
  year={2015}
}
  • Mengjie Chen, Chao Gao, Zhao Hua Ren
  • Published 2015
  • Mathematics
  • arXiv: Statistics Theory
  • Today's data pose unprecedented challenges to statisticians. It may be incomplete, corrupted or exposed to some unknown source of contamination. We need new methods and theories to grapple with these challenges. Robust estimation is one of the revived fields with potential to accommodate such complexity and glean useful information from modern datasets. Following our recent work on high dimensional robust covariance matrix estimation, we establish a general decision theory for robust statistics… CONTINUE READING

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