Sub-Gaussian estimators of the mean of a random vector

02/01/2017
by   Gábor Lugosi, et al.
0

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.

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