Mean Estimation and Regression Under Heavy-Tailed Distributions: A Survey

We survey some of the recent advances in mean estimation and regression function estimation. In particular, we describe sub-Gaussian mean estimators for possibly heavy-tailed data in both the univariate and multivariate settings. We focus on estimators based on median-of-means techniques, but other...

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Bibliographic Details
Published in:	Foundations of computational mathematics Vol. 19; no. 5; pp. 1145 - 1190
Main Authors:	Lugosi, Gábor, Mendelson, Shahar
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.10.2019 Springer Nature B.V
Subjects:	Applications of Mathematics Computer Science Economics Estimators Linear and Multilinear Algebras Math Applications in Computer Science Mathematics Mathematics and Statistics Matrix Theory Numerical Analysis Regression Statistical analysis 62G05 Statistical learning Regression function estimation Robustness Mean estimation 62G35 Heavy-tailed distributions 62G15
ISSN:	1615-3375, 1615-3383
Online Access:	Get full text
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