Robust multivariate mean estimation: The optimality of trimmed mean

By Gábor Lugosi, Shahar Mendelson. Annals of Statistics, 2019

152 citations recorded by the source corpus.

We consider the problem of estimating the mean of a random vector based on i.i.d. observations and adversarial contamination. We introduce a multivariate extension of the trimmed-mean estimator and show its optimal performance under minimal conditions.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/80f3dcd2527f337c26f3f21b87b60c615a58e681

Citations in the corpus

• Mean Estimation and Regression Under Heavy-Tailed Distributions: A Survey (2019, unknown): “This statement is formalized and proved in [55] where a multivariate extension is also introduced and analyzed.”