Non-asymptotic analysis and inference for an outlyingness induced winsorized mean
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Robust estimation of a mean vector, a topic regarded as obsolete in the traditional robust statistics community, has recently surged in machine learning literature in the last decade. The latest focus is on the sub-Gaussian performance and computability of the estimators in a non-asymptotic setting. Numerous traditional robust estimators are computationally intractable, which partly contributes to the renewal of the interest in the robust mean estimation. Robust centrality estimators, however, include the trimmed mean and the sample median. The latter has the best robustness but suffers a low-efficiency drawback. Trimmed mean and median of means, sample mean, and achieving sub-Gaussian performance have been proposed and studied in the literature. This article investigates the robustness of leading sub-Gaussian estimators of mean and reveals that none of them can resist greater than 25% contamination in data and consequently introduces an outlyingness induced winsorized mean which has the best possible robustness (can resist up to 50% contamination without breakdown) meanwhile achieving high efficiency. Furthermore, it has a sub-Gaussian performance for uncontaminated samples and a bounded estimation error for contaminated samples at a given confidence level in a finite sample setting. It can be computed in linear time.
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