Mean estimation in high dimension

  • Gábor Lugosi

    Department of Economics and Business, Pompeu Fabra University, ICREA, Pg. Lluís Companys 23, 08010 Barcelona, Spain, and Barcelona School of Economics, Barcelona, Spain
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In this note we discuss the statistical problem of estimating the mean of a random vector based on independent, identically distributed data. This classical problem has recently attracted a lot of attention both in mathematical statistics and in theoretical computer science and numerous intricacies have been revealed. We discuss some of the recent advances, focusing on high-dimensional aspects.