By Gabor Lugosi and Shahar Mendelson

We consider the problem of estimating the mean of a random vector based on *N* independent, identically distributed observations. We prove the existence of an estimator that has a near-optimal error in all directions in which the variance of the one dimensional marginal of the random vector is not too... Show more

October 22, 2020

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Multivariate mean estimation with direction-dependent accuracy

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