Sub-Gaussian estimators of the mean of a random vector
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- dc.contributor.author Lugosi, Gábor
- dc.contributor.author Mendelson, Shahar
- dc.date.accessioned 2025-12-02T13:57:27Z
- dc.date.available 2025-12-02T13:57:27Z
- dc.date.issued 2019
- dc.date.updated 2025-12-02T13:57:27Z
- dc.description.abstract 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.
- dc.description.sponsorship Supported by the Spanish Ministry of Economy and Competitiveness Grant MTM2015-67304-P and FEDER, EU.
- dc.format.mimetype application/pdf
- dc.identifier.citation Lugosi G, Mendelson S. Sub-Gaussian estimators of the mean of a random vector. The Annals of Statistics. 2019;47(2):783-94. DOI: 10.1214/17-AOS1639
- dc.identifier.doi http://dx.doi.org/10.1214/17-AOS1639
- dc.identifier.issn 0090-5364
- dc.identifier.uri http://hdl.handle.net/10230/72103
- dc.language.iso eng
- dc.publisher Institute of Mathematical Statistics
- dc.relation.ispartof The Annals of Statistics. 2019;47(2):783-794
- dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/MTM2015-67304-P
- dc.rights © Institute of Mathematical Statistics, 2019
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.subject.keyword Mean estimation
- dc.subject.keyword Robust estimation
- dc.subject.keyword Sub-Gaussian inequalities
- dc.title Sub-Gaussian estimators of the mean of a random vector
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/publishedVersion