Sub-Gaussian estimators of the mean of a random vector

1 Feb 2017Gábor LugosiShahar Mendelson

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... (read more)

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