[Statlist] Next talk: Friday, November 18, 2011 with Davy Paindaveine, University of Brussels

[Susanne Kaiser-Heinzmann]

ETH and University of Zurich

Proff. P. Buehlmann -  L. Held - H.R. Kuensch -
M. Maathuis -  S. van de Geer - M. Wolf


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We are glad to announce the following talk
Friday, November 18, 2011, 15.15h, HG G 19.1

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by Davy Paindaveine, University of Brussels


Titel:
Semiparametrically Efficient Inference Based On Signed Ranks In  
Symmetric Independent Component Models

Abstract:
We consider semiparametric location-scatter models for which the p- 
variate observation is obtained as X = ��Z + ��, where �� is a p- 
vector, �� is a full-rank p �� p matrix, and the (unobserved) random p- 
vector Z has marginals that are centered and mutually independent but  
are otherwise unspecified. As in blind source separation and  
independent component analysis (ICA), the parameter of interest  
throughout the paper is ��. On the basis of n i.i.d. copies of X, we 
develop, under a symmetry assumption on Z, signed-rank one-sample  
testing and estimation procedures for ��. We exploit the uniform local  
and asymptotic normality (ULAN) of the model to define signed-rank  
procedures that are semiparametrically efficient under correctly  
specified densities. Yet, as usual in rank-based inference, the  
proposed procedures remain valid (correct asymptotic size under the  
null, for hypothesis testing, and root-n consistency, for point  
estimation) under a very broad range of densities. We derive the  
asymptotic properties of the proposed procedures and investigate their  
finite-sample behavior through simulations.

The abstract is also to be found here:  http://stat.ethz.ch/events/research_seminar
_________________________________
ETH Z��rich
Seminar f��r Statistik
R��mistrasse 101
CH-8092 Z��rich
Tel: +41 446326518 Fax: +41 446321228
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