Robust Estimation in metric spaces: Achieving Exponential Concentration with a Fr\'echet Median
TL;DR: We propose an estimator over CAT($\kappa$) parameter spaces that achieves exponential concentration for heavy-tailed distributions.
Abstract: There is growing interest in developing statistical estimators that achieve exponential concentration around a population target even when the data distribution has heavier than exponential tails. More recent activity has focused on extending such ideas beyond Euclidean spaces to Hilbert spaces and Riemannian manifolds. In this work, we show that such exponential concentration in presence of heavy tails can be achieved over a broader class of parameter spaces called CAT($\kappa$) spaces, a very general metric space equipped with the minimal essential geometric structure for our purpose, while being sufficiently broad to encompass most typical examples encountered in statistics and machine learning. The key technique is to develop and exploit a general concentration bound for the Fr\'echet median in CAT($\kappa$) spaces. We illustrate our theory through a number of examples, and provide empirical support through simulation studies.
Submission Number: 1583
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