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Robust multivariate mean estimation: the optimality of trimmed mean
Published 26 Jul 2019 in math.ST and stat.TH | (1907.11391v2)
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.
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