Année
2022
Auteurs
LECUE Guillaume, DEPERSIN Jules
Abstract
We construct an algorithm for estimating the mean of a heavy-tailed random variable when given an adversarial corrupted sample of N independent observations. The only assumption we make on the distribution of the noncorrupted (or informative) data is the existence of a covariance matrix Σ, unknown to the statistician.
DEPERSIN, J. et LECUE, G. (2022). Robust sub-Gaussian estimation of a mean vector in nearly linear time. Annals of Statistics, 50(1), pp. 511-536.