Published 2016
| Version v1
Journal article
Sub-Gaussian mean estimators
Contributors
Others:
- Laboratoire Jean Alexandre Dieudonné (JAD) ; Université Nice Sophia Antipolis (1965 - 2019) (UNS) ; COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-Centre National de la Recherche Scientifique (CNRS)-Université Côte d'Azur (UCA)
- Universitat Pompeu Fabra [Barcelona] (UPF)
- Institució Catalana de Recerca i Estudis Avançats (ICREA)
- Instituto Nacional de Matemática Pura e Aplicada (IMPA)
Description
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.
Abstract
34 pagesAbstract
International audienceAdditional details
Identifiers
- URL
- https://hal.science/hal-01204519
- URN
- urn:oai:HAL:hal-01204519v1
Origin repository
- Origin repository
- UNICA