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1
Intro
2
estimating the mean
3
distributions with a second moment
4
confidence bounds
5
sub-Gaussian bounds
6
empirical mean-heavy tails
7
bibliographic remarks
8
multivariate distributions
9
sub-gaussian mean estimators
10
high-dimensional median of means
11
multivariate median of means
12
median-of-means tournament
13
sub-gaussian estimate
14
multivariate trimmed means
15
general norms
16
direction-dependent accuracy - Gaussian case To obtain guidance, we inspect the enpirical meat for Gaussian
17
direction-dependent accuracy - main result
18
questions
Description:
Explore a 44-minute lecture on mean estimation in high dimensions presented by Gabor Lugosi for the International Mathematical Union. Delve into the statistical problem of estimating the mean of a random vector using independent, identically distributed data. Examine recent advances in this classical problem, with a focus on high-dimensional aspects. Learn about distributions with second moments, confidence bounds, sub-Gaussian bounds, and empirical means with heavy tails. Investigate multivariate distributions, sub-Gaussian mean estimators, and high-dimensional median of means. Discover median-of-means tournaments, sub-Gaussian estimates, and multivariate trimmed means. Study general norms and direction-dependent accuracy in both Gaussian and non-Gaussian cases. Access accompanying slides for visual aids and further understanding of the presented concepts.

Mean Estimation in High Dimension

International Mathematical Union
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