Robust Sparse Mean Estimation via Incremental Learning

1 code implementation • 24 May 2023 • Jianhao Ma, Rui Ray Chen, Yinghui He, Salar Fattahi, Wei Hu

This paper presents a simple mean estimator that overcomes both challenges under moderate conditions: it runs in near-linear time and memory (both with respect to the ambient dimension) while requiring only $\tilde O(k)$ samples to recover the true mean.

Incremental Learning