Sub-Gaussian mean estimators
Statistics Theory
2015-09-22 v1 Statistics Theory
Abstract
We discuss the possibilities and limitations of estimating the mean of a real-valued random variable from independent and identically distributed observations from a non-asymptotic point of view. In particular, we define estimators with a sub-Gaussian behavior even for certain heavy-tailed distributions. We also prove various impossibility results for mean estimators.
Cite
@article{arxiv.1509.05845,
title = {Sub-Gaussian mean estimators},
author = {Luc Devroye and Matthieu Lerasle and Gabor Lugosi and Roberto I. Oliveira},
journal= {arXiv preprint arXiv:1509.05845},
year = {2015}
}
Comments
34 pages