Sub-Gaussian estimators of the mean of a random vector

Abstract

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. The estimator is based on a novel concept of a multivariate median.

12 pages

References in corpus (1)

• On the estimation of the mean of a random vector

Cited by in corpus (1)

• A Unified Approach to Robust Mean Estimation