On the estimation of the mean of a random vector
Statistics Theory
2016-07-20 v1 Statistics Theory
Abstract
We study the problem of estimating the mean of a multivariatedistribution based on independent samples. The main result is the proof of existence of an estimator with a non-asymptotic sub-Gaussian performance for all distributions satisfying some mild moment assumptions.
Keywords
Cite
@article{arxiv.1607.05421,
title = {On the estimation of the mean of a random vector},
author = {Emilien Joly and Gábor Lugosi and Roberto I. Oliveira},
journal= {arXiv preprint arXiv:1607.05421},
year = {2016}
}