Dimension-free PAC-Bayesian bounds for the estimation of the mean of a random vector

Published 12 Feb 2018 in math.ST and stat.TH | (1802.04308v1)

Abstract: In this paper, we present a new estimator of the mean of a random vector, computed by applying some threshold function to the norm. Non asymptotic dimension-free almost sub-Gaussian bounds are proved under weak moment assumptions, using PAC-Bayesian inequalities.

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