robust-statistics

Fitting robust non-Gaussian models in Stan and R-INLA

Rafael Cabral, David Bolin and Håvard Rue / 2023-01-19

Traditionally the excitation noise of spatial and temporal models is Gaussian. Take, for instance, an AR1 (autoregressive of order 1) process, where the increments \(x_{i+1}-\rho x_i, \ \ |\rho|<1\) are assumed to follow a Gaussian distribution. However, it is easy to find datasets that contain…

robust-statistics

Universal estimation with Maximum Mean Discrepancy (MMD)

Pierre Alquier / 2022-01-13

This is an updated version of a blog post on RIKEN AIP Approximate Bayesian Inference team webpage: https://team-approx-bayes.github.io/blog/mmd/ […] A very old and yet very exciting problem in statistics is the definition of a universal estimator \(\hat{\theta}\). An estimation procedure…