Sub-Gaussian mean estimators

Sep 29, 2015

Luc Devroye, Matthieu Lerasle, Gabor Lugosi, Roberto I. Oliveira

We discuss the possibilities and limitations of estimating the mean of a real-valued random variable from independent and identically distributed observations from a non-asymptotic point of view. In particular, we define estimators with a sub-Gaussian behavior even for certain heavy-tailed distributions. We also prove various impossibility results for mean estimators.

The whole paper is available here.

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