Sub-Gaussian Estimators of the Mean of a Random Vector

  • Authors: Gábor Lugosi.
  • Annals of Statistics, Vol. 47 , No 2 ,783-794, February, 2019.

We study the problem of estimating the mean of a random vector X given a sample of N 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 X exists. The estimator is based on a novel concept of a multivariate median

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