Sub-Gaussian estimators of the mean of a random vector
Statistics Theory
2017-02-03 v1 Machine Learning
Statistics Theory
Abstract
We study the problem of estimating the mean of a random vector given a sample of independent, identically distributed points. We introduce a new estimator that achieves a purely sub-Gaussian performance under the only condition that the second moment of exists. The estimator is based on a novel concept of a multivariate median.
Keywords
Cite
@article{arxiv.1702.00482,
title = {Sub-Gaussian estimators of the mean of a random vector},
author = {Gábor Lugosi and Shahar Mendelson},
journal= {arXiv preprint arXiv:1702.00482},
year = {2017}
}
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12 pages