On Mean Estimation for Heteroscedastic Random Variables

DOI10.1214/21-AIHP1239arXiv2010.11537MaRDI QIDQ6351968FDOQ6351968

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

Publication date: 22 October 2020

Abstract: We study the problem of estimating the common mean $mu$ of $n$ independent symmetric random variables with different and unknown standard deviations $sigm{a}_{1}lesigm{a}_{2}lecdotslesigm{a}_n$. We show that, under some mild regularity assumptions on the distribution, there is a fully adaptive estimator $widehatmu$ such that it is invariant to permutations of the elements of the sample and satisfies that, up to logarithmic factors, with high probability, [ |widehat{mu} - mu| lesssim minleft{sigma_{m^*}, frac{sqrt{n}}{sum_{i = sqrt{n}}^n sigma_i^{-1}} ight}~, ] where the index $m^{\ast }lesssimsqrtn$ satisfies $m^{\ast }approxsqrtsigm{a}_{m^{\ast }}su{m}_{i=m^{\ast }}^{n}sigm{a}_i^{-1}$.

Mathematics Subject Classification ID

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

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