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See detailFrom robust tests to Bayes-like posterior distributions
Baraud, Yannick UL

E-print/Working paper (2021)

In the Bayes paradigm and for a given loss function, we propose the construction of a new type of posterior distributions for estimating the law of an n-sample. The loss functions we have in mind are ... [more ▼]

In the Bayes paradigm and for a given loss function, we propose the construction of a new type of posterior distributions for estimating the law of an n-sample. The loss functions we have in mind are based on the total variation distance, the Hellinger distance as well as some 𝕃j-distances. We prove that, with a probability close to one, this new posterior distribution concentrates its mass in a neighbourhood of the law of the data, for the chosen loss function, provided that this law belongs to the support of the prior or, at least, lies close enough to it. We therefore establish that the new posterior distribution enjoys some robustness properties with respect to a possible misspecification of the prior, or more precisely, its support. For the total variation and squared Hellinger losses, we also show that the posterior distribution keeps its concentration properties when the data are only independent, hence not necessarily i.i.d., provided that most of their marginals are close enough to some probability distribution around which the prior puts enough mass. The posterior distribution is therefore also stable with respect to the equidistribution assumption. We illustrate these results by several applications. We consider the problems of estimating a location parameter or both the location and the scale of a density in a nonparametric framework. Finally, we also tackle the problem of estimating a density, with the squared Hellinger loss, in a high-dimensional parametric model under some sparcity conditions. The results established in this paper are non-asymptotic and provide, as much as possible, explicit constants. [less ▲]

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See detailTests and estimation strategies associated to some loss functions
Baraud, Yannick UL

in Probability Theory and Related Fields (2021), 180(3), 799-846

We consider the problem of estimating the joint distribution of n independent random variables. Given a loss function and a family of candidate probabilities, that we shall call a model, we aim at ... [more ▼]

We consider the problem of estimating the joint distribution of n independent random variables. Given a loss function and a family of candidate probabilities, that we shall call a model, we aim at designing an estimator with values in our model that possesses good estimation properties not only when the distribution of the data belongs to the model but also when it lies close enough to it. The losses we have in mind are the total variation, Hellinger, Wasserstein and L_p-distances to name a few. We show that the risk of our estimator can be bounded by the sum of an approximation term that accounts for the loss between the true distribution and the model and a complexity term that corresponds to the bound we would get if this distribution did belong to the model. Our results hold under mild assumptions on the true distribution of the data and are based on exponential deviation inequalities that are non-asymptotic and involve explicit constants. Interestingly, when the model reduces to two distinct probabilities, our procedure results in a robust test whose errors of first and second kinds only depend on the losses between the true distribution and the two tested probabilities. [less ▲]

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See detailRobust Estimation of a Regression Function in Exponential Families
Baraud, Yannick UL; Chen, Juntong UL

E-print/Working paper (2020)

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See detailEstimating the number of infected persons
Baraud, Yannick UL; Nourdin, Ivan UL; Peccati, Giovanni UL

E-print/Working paper (2020)

The aim of this paper is to provide a confidence interval on the number of infected persons by COVID-19 within the population from the number of deaths reported in the hospitals and the mortality rate ... [more ▼]

The aim of this paper is to provide a confidence interval on the number of infected persons by COVID-19 within the population from the number of deaths reported in the hospitals and the mortality rate (that is assumed to be known). [less ▲]

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See detailROBUST BAYES-LIKE ESTIMATION: RHO-BAYES ESTIMATION
Baraud, Yannick UL; Birgé, Lucien

in Annals of Statistics (2020)

We observe n independent random variables with joint distribution P and pretend that they are i.i.d. with some common density s (with respect to a known measure μ) that we wish to estimate. We consider a ... [more ▼]

We observe n independent random variables with joint distribution P and pretend that they are i.i.d. with some common density s (with respect to a known measure μ) that we wish to estimate. We consider a density model S for s that we endow with a prior distribution π (with support in S) and build a robust alternative to the classical Bayes posterior distribution which possesses similar concentration properties around s whenever the data are truly i.i.d. and their density s belongs to the model S. Furthermore, in this case, the Hellinger distance between the classical and the robust posterior distributions tends to 0, as the number of observations tends to infinity, under suitable assumptions on the model and the prior. However, unlike what happens with the classical Bayes posterior distribution, we show that the concentration properties of this new posterior distribution are still preserved when the model is misspecified or when the data are not i.i.d. but the marginal densities of their joint distribution are close enough in Hellinger distance to the model S. [less ▲]

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See detailCan we trust L2-criteria and L2-losses?
Baraud, Yannick UL

in Journal de la Société Française de Statistique (2019), 160(3),

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See detailRho-estimators revisited: general theory and applications
Baraud, Yannick UL; Birgé, Lucien

in Annals of Statistics (2018), 46(6B), 3767--3804

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See detailUne alternative robuste au maximum de vraisemblance: la $\rho$-estimation
Baraud, Yannick UL; Birgé, L.

in Journal de la Société Française de Statistique (2017), 158(3), 1--26

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See detailA new method for estimation and model selection: $\rho$-estimation
Baraud, Yannick UL; Birgé, L.; Sart, M.

in Inventiones Mathematicae (2017), 207(2), 425--517

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See detailBounding the expectation of the supremum of an empirical process over a (weak) VC-major class
Baraud, Yannick UL

in Electronic Journal of Statistics (2016), 10(2), 1709--1728

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See detailRho-estimators for shape restricted density estimation
Baraud, Yannick UL; Birgé, L.

in Stochastic Process. Appl. (2016), 126(12), 3888--3912

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See detailEstimator selection in the Gaussian setting
Baraud, Yannick UL; Giraud, Christophe; Huet, Sylvie

in Ann. Inst. Henri Poincaré Probab. Stat. (2014), 50(3), 1092--1119

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See detailEstimating composite functions by model selection
Baraud, Yannick UL; Birgé, Lucien

in Ann. Inst. Henri Poincaré Probab. Stat. (2014), 50(1), 285--314

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See detailEstimation of the density of a determinantal process
Baraud, Yannick UL

in Confluentes Mathematici (2013), 5(1), 3--21

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See detailEstimator selection with respect to Hellinger-type risks
Baraud, Yannick UL

in Probab. Theory Related Fields (2011), 151(1-2), 353--401

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See detailEstimating the intensity of a random measure by histogram type estimators
Baraud, Yannick UL; Birgé, Lucien

in Probab. Theory Related Fields (2009), 143(1-2), 239--284

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See detailGaussian model selection with an unknown variance
Baraud, Yannick UL; Giraud, Christophe; Huet, Sylvie

in Annals of Statistics (2009), 37(2), 630--672

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See detailTesting convex hypotheses on the mean of a Gaussian vector. Application to testing qualitative hypotheses on a regression function
Baraud, Yannick UL; Huet, Sylvie; Laurent, Béatrice

in Annals of Statistics (2005), 33(1), 214--257

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See detailConfidence balls in Gaussian regression
Baraud, Yannick UL

in Annals of Statistics (2004), 32(2), 528--551

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