Robust and efficient mean estimation: an approach based on the properties of self-normalized sums
Robust and efficient mean estimation: an approach based on the properties of self-normalized sums
Let X be a random variable with unknown mean and finite variance. We present a new estimator of the mean of X that is robust with respect to the possible presence of outliers in the sample, provides tight sub-Gaussian deviation guarantees without any additional assumptions on the shape or tails …