SUB-GAUSSIAN ESTIMATORS OF THE MEAN OF A RANDOM VECTOR
成果类型：
Article
署名作者：
Lugosi, Gabor; Mendelson, Shahar
署名单位：
ICREA; Pompeu Fabra University; Barcelona School of Economics; Technion Israel Institute of Technology; Australian National University
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/17-AOS1639
发表日期：
2019
页码：
783-794
关键词：
摘要：
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.