Last modified: Thu Oct 20 11:26:25 EDT 2005
by Dean Foster

# Statistical Data mining: Extreme tail probabilities

## Admistrivia

- Homework 3 is due in 10 days

## White estimator

- beta-hat = cov(X - xhat,Y - yhat)/var(X - xhat)
- Nice sum formation
- Estimate variance of beta-hat
- Usual method: assume Y's are IID (or at least homoskadastic)
- White estimator is more robust. Doesn't need anything except
independence.
- Sandwich estimator for variance. (Name comes from matrix
format.)
- Called GEE's in biostatistics.

## Putting them together

- Assumption: Y - yhat is symetric
- Lemma: |Y| and sgn(Y) are independent
- Use Chernoff to compute P(beta-hat > c| |Y-yhat|'s)

dean@foster.net