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February 2021 Robust multivariate mean estimation: The optimality of trimmed mean
Gábor Lugosi, Shahar Mendelson
Ann. Statist. 49(1): 393-410 (February 2021). DOI: 10.1214/20-AOS1961

Abstract

We consider the problem of estimating the mean of a random vector based on i.i.d. observations and adversarial contamination. We introduce a multivariate extension of the trimmed-mean estimator and show its optimal performance under minimal conditions.

Citation

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Gábor Lugosi. Shahar Mendelson. "Robust multivariate mean estimation: The optimality of trimmed mean." Ann. Statist. 49 (1) 393 - 410, February 2021. https://doi.org/10.1214/20-AOS1961

Information

Received: 1 July 2019; Revised: 1 February 2020; Published: February 2021
First available in Project Euclid: 29 January 2021

Digital Object Identifier: 10.1214/20-AOS1961

Subjects:
Primary: 62G08, 62J02
Secondary: 60G25

Rights: Copyright © 2021 Institute of Mathematical Statistics

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Vol.49 • No. 1 • February 2021
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