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.
(Institute of Mathematical Statistics, 2019) Lugosi, Gábor; Mendelson, Shahar
