arXiv (Cornell University) · 2018 · 20 citations · 4 references
Natural SciencesMathematicsProbability TheoryStatisticsBayesian InferenceProbability InequalitiesStatistical InferenceAsymptotic TheoryRandom Vector
In this paper, we present a new estimator of the mean of a random vector, computed by applying some threshold function to the norm. Non asymptotic dimension-free almost sub-Gaussian bounds are proved under weak moment assumptions, using PAC-Bayesian inequalities.
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