Abstract
We study the problem of estimating the mean of a multivariate distribution based on independent samples. The main result is the proof of existence of an estimator with a non-asymptotic sub-Gaussian performance for all distributions satisfying some mild moment assumptions.
Citation
Emilien Joly. Gábor Lugosi. Roberto Imbuzeiro Oliveira. "On the estimation of the mean of a random vector." Electron. J. Statist. 11 (1) 440 - 451, 2017. https://doi.org/10.1214/17-EJS1228
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