Robust multivariate mean estimation: the optimality of trimmed mean
Statistics Theory
2020-02-25 v2 Statistics Theory
Abstract
We consider the problem of estimating the mean of a random vector based on i.i.d. observations and adversarial contamination. We introduce a multivariate extension of the trimmed-mean estimator and show its optimal performance under minimal conditions.
Cite
@article{arxiv.1907.11391,
title = {Robust multivariate mean estimation: the optimality of trimmed mean},
author = {Gabor Lugosi and Shahar Mendelson},
journal= {arXiv preprint arXiv:1907.11391},
year = {2020}
}