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- Trump SoHo Interviews: Manager in DevelopmentAll day
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- Optimal estimation of Gaussian mixtures via denoised method of moments - Yihong Wu (Yale University)4:00 pm
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Optimal estimation of Gaussian mixtures via denoised method of moments - Yihong Wu (Yale University)
The Method of Moments is one of the most widely used methods in statistics for parameter estimation, obtained by solving the system of equations that match the population and estimated moments. However, in practice and especially for the important case of mixture models, one frequently needs to contend with the difficulties of non-existence or non-uniqueness of statistically meaningful solutions, as well as the high computational cost of solving large polynomial systems. Moreover, theoretical analysis of method of moments are mainly confined to asymptotic normality style of results established under strong assumptions.In this talk I will present some recent results for estimating Gaussians location mixtures with known or unknown variance. To overcome the aforementioned theoretic and algorithmic hurdles, a crucial step is to denoise the moment estimates by projecting to the truncated moment space before executing the method of moments. Not only does this regularization ensures existence and uniqueness of solutions, it also yields fast solvers by means of Gauss quadrature. Furthermore, by proving new moment comparison theorems in Wasserstein distance via polynomial interpolation and marjorization, we establish the statistical guarantees and optimality of the proposed procedure. These results can also be viewed as provable algorithms for Generalized Method of Moments which involves non-convex optimization. Extensions to multiple dimensions will be discussed. This is based on joint work with Pengkun Yang (Illinois).
When | 4:00 pm to 5:00 pm on Thursday, October 5, 2017 |
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Location | Room 148, 111 Cummington Mall |