On the estimation of the mean of a random vector | Zendy

Émilien Joly | Zendy; Gábor Lugosi | Zendy; Roberto I. Oliveira | Zendy

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On the estimation of the mean of a random vector

Author(s) -

Émilien Joly,

Gábor Lugosi,

Roberto I. Oliveira

Publication year - 2017

Publication title -

electronic journal of statistics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.482

H-Index - 54

ISSN - 1935-7524

DOI - 10.1214/17-ejs1228

Subject(s) - mathematics , estimator , moment (physics) , multivariate random variable , statistics , multivariate statistics , multivariate normal distribution , estimation , gaussian , distribution (mathematics) , random variable , mathematical analysis , physics , management , classical mechanics , quantum mechanics , economics

We study the problem of estimating the mean of a multivariatedistribution 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.

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