Lugosi, GáborMendelson, Shahar2025-12-022025-12-022019Lugosi 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-AOS16390090-5364http://hdl.handle.net/10230/72103We 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.application/pdfeng© Institute of Mathematical Statistics, 2019info:eu-repo/semantics/article2025-12-02http://dx.doi.org/10.1214/17-AOS1639Mean estimationRobust estimationSub-Gaussian inequalitiesinfo:eu-repo/semantics/openAccess