Walter McKelvie

All-Purpose Mean Estimation over R: Optimal Sub-Gaussianity with Outlier Robustness and Low Moments Performance

We consider the basic statistical challenge of designing an "all-purpose" mean estimation algorithm that is recommendable across a variety of settings and models. Recent work by [Lee and Valiant 2022] introduced the first 1-d mean estimator whose error in the standard finite-variance+i.i.d. setting…