On mean estimation for heteroscedastic random variables

DOI10.1214/21-AIHP1239MaRDI QIDQ2686600zbMATH OpenFDO

Authors Silvio Lattanzi, Gábor Lugosi, Nikita Zhivotovskiy, Luc Devroye

Publication date 28 February 2023

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.11537

zbMATH Keywords

adaptivityheteroscedastic observationsmean estimationorder statisticrobustness

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Order statistics; empirical distribution functions (62G30)

Recommendations

• Estimation of the Common Mean from Heterogeneous Normal Observations with Unknown Variances
• Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression
• On the estimation of the mean of a random vector
• scientific article; zbMATH DE number 775917
• Density Estimation in the Presence of Heteroscedastic Measurement Error
• On estimation of a heteroscedastic measurement error model under heavy-tailed distributions
• On variance estimation under shifts in the mean
• Density estimation with heteroscedastic error
• On least squares estimation under heteroscedastic and heavy-tailed errors

Cites work

• Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
• Concentration inequalities. A nonasymptotic theory of independence
• Estimation for a linear regression model with unknown diagonal covariance matrix
• Estimation of the mode
• Fast classification rates without standard margin assumptions
• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 3446442 (Why is no real title available?)
• Learning entangled single-sample Gaussians
• Local Asymptotic Normality for Non-Identically Distributed Observations
• Local Rademacher complexities
• Mathematical foundations of infinite-dimensional statistical models
• Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables
• Non-asymptotic bounds for percentiles of independent non-identical random variables
• On the minimum of several random variables
• Rate of convergence to the normal law of order statistics for nonidentically distributed random variables
• Robust estimation in heteroscedastic linear models
• Robust estimation in models for independent non-identically distributed data
• Sphere packing numbers for subsets of the Boolean \(n\)-cube with bounded Vapnik-Chervonenkis dimension
• Time bounds for selection

Cited in

(4)

• scientific article; zbMATH DE number 4147327 (Why is no real title available?)
• scientific article; zbMATH DE number 31672 (Why is no real title available?)
• On Mean Estimation for Heteroscedastic Random Variables
• Attainability of two-point testing rates for finite-sample location estimation

This page was built for publication: On mean estimation for heteroscedastic random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2686600)