Electronic Journal of Statistics

On the estimation of the mean of a random vector

Emilien Joly, Gábor Lugosi, and Roberto Imbuzeiro Oliveira

Full-text: Open access

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.

Article information

Source
Electron. J. Statist. Volume 11, Number 1 (2017), 440-451.

Dates
Received: July 2016
First available in Project Euclid: 2 March 2017

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1488423803

Digital Object Identifier
doi:10.1214/17-EJS1228

Subjects
Primary: 62F10: Point estimation 62F35: Robustness and adaptive procedures
Secondary: 62H11: Directional data; spatial statistics

Keywords
Point estimation robustness and adaptive procedures directional data spatial statistics

Rights
Creative Commons Attribution 4.0 International License.

Citation

Joly, Emilien; Lugosi, Gábor; Imbuzeiro Oliveira, Roberto. On the estimation of the mean of a random vector. Electron. J. Statist. 11 (2017), no. 1, 440--451. doi:10.1214/17-EJS1228. https://projecteuclid.org/euclid.ejs/1488423803


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