Corpus ID: 211020901

All-In-One Robust Estimator of the Gaussian Mean

@article{Dalalyan2020AllInOneRE,
  title={All-In-One Robust Estimator of the Gaussian Mean},
  author={A. Dalalyan and A. Minasyan},
  journal={arXiv: Statistics Theory},
  year={2020}
}
The goal of this paper is to show that a single robust estimator of the mean of a multivariate Gaussian distribution can enjoy five desirable properties. First, it is computationally tractable in the sense that it can be computed in a time which is at most polynomial in dimension, sample size and the logarithm of the inverse of the contamination rate. Second, it is equivariant by translations and orthogonal transformations. Third, it has a high breakdown point equal to $0.5$, and a nearly… Expand
5 Citations

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