Robust multivariate mean estimation: The optimality of trimmed mean

Lugosi, Gabor; Mendelson, Shahar

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Robust multivariate mean estimation: The optimality of trimmed mean

Date

2021

Authors

Lugosi, Gabor

Mendelson, Shahar

Publisher

Institute of Mathematical Statistics

Abstract

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.