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math.ST2018
Uniform bounds for robust mean estimators
Stanislav Minsker
This paper is devoted to the estimators of the mean that provide strong non-asymptotic guarantees under minimal assumptions on the underlying distribution. The main ideas behind pr…
math.ST2017★ 23 cited
Estimation of the covariance structure of heavy-tailed distributions
Stanislav Minsker, Xiaohan Wei
We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence o…