F. Angeletti (ENS Lyon): Critical order for moment estimation : insights from statistical physics.

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Date(s) - 27/06/2013
15 h 00 min - 16 h 00 min

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Critical order for moment estimation : insights from statistical physics.\nBy Florian Angeletti ENS Lyon\n\nAbstract:\nMoment estimation is one of the most basic question in statistical signal processing.\nFor i.i.d. random variables and a infinite number of observations\, the law of large numbers implies that the classical moment estimator converges towards the theoretical moment. However\, these hypothesis are not really satisfied in practical settings where only a finite number of observations is available and most data are correlated.\nIt is therefore quite natural to ask ourselves: up to which order can moments be reliably estimated from a given number of observation? In this presentation\, I will show how the notion of glassy phase transition developed for studying disordered systems in statistical physics can help to answer such a question.

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