On the estimation of the mean of a random vector

Emilien Joly, Gábor Lugosi and Roberto Imbuzeiro Oliveira

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.

The whole paper is available here.

 

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