具有方向相关精度的多元均值估计

IF 2.5 1区 数学 Q1 MATHEMATICS Journal of the European Mathematical Society Pub Date : 2020-10-22 DOI:10.4171/jems/1321
G. Lugosi, S. Mendelson
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引用次数: 5

摘要

我们考虑基于$N$独立的、同分布的观测值估计随机向量均值的问题。我们证明了在随机向量的一维边缘的方差不太小的所有方向上具有近似最优误差的估计量的存在性:在概率$1-\delta$下,该过程返回$\wh{\mu}_N$,它满足对于每个方向$u \in S^{d-1}$, \[ \inr{\wh{\mu}_N - \mu, u}\le \frac{C}{\sqrt{N}} \left( \sigma(u)\sqrt{\log(1/\delta)} + \left(\E\|X-\EXP X\|_2^2\right)^{1/2} \right)~, \],其中$\sigma^2(u) = \var(\inr{X,u})$和$C$是常数。为了实现这一点,我们只需要稍微多于协方差矩阵的存在,以一定的矩等效假设的形式。这个证明依赖于经验概率和真概率之比的新界限,这些界限在某些类别的随机变量上是一致的。
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Multivariate mean estimation with direction-dependent accuracy
We consider the problem of estimating the mean of a random vector based on $N$ independent, identically distributed observations. We prove the existence of an estimator that has a near-optimal error in all directions in which the variance of the one dimensional marginal of the random vector is not too small: with probability $1-\delta$, the procedure returns $\wh{\mu}_N$ which satisfies that for every direction $u \in S^{d-1}$, \[ \inr{\wh{\mu}_N - \mu, u}\le \frac{C}{\sqrt{N}} \left( \sigma(u)\sqrt{\log(1/\delta)} + \left(\E\|X-\EXP X\|_2^2\right)^{1/2} \right)~, \] where $\sigma^2(u) = \var(\inr{X,u})$ and $C$ is a constant. To achieve this, we require only slightly more than the existence of the covariance matrix, in the form of a certain moment-equivalence assumption. The proof relies on novel bounds for the ratio of empirical and true probabilities that hold uniformly over certain classes of random variables.
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来源期刊
CiteScore
4.50
自引率
0.00%
发文量
103
审稿时长
6-12 weeks
期刊介绍: The Journal of the European Mathematical Society (JEMS) is the official journal of the EMS. The Society, founded in 1990, works at promoting joint scientific efforts between the many different structures that characterize European mathematics. JEMS will publish research articles in all active areas of pure and applied mathematics. These will be selected by a distinguished, international board of editors for their outstanding quality and interest, according to the highest international standards. Occasionally, substantial survey papers on topics of exceptional interest will also be published. Starting in 1999, the Journal was published by Springer-Verlag until the end of 2003. Since 2004 it is published by the EMS Publishing House. The first Editor-in-Chief of the Journal was J. Jost, succeeded by H. Brezis in 2004. The Journal of the European Mathematical Society is covered in: Mathematical Reviews (MR), Current Mathematical Publications (CMP), MathSciNet, Zentralblatt für Mathematik, Zentralblatt MATH Database, Science Citation Index (SCI), Science Citation Index Expanded (SCIE), CompuMath Citation Index (CMCI), Current Contents/Physical, Chemical & Earth Sciences (CC/PC&ES), ISI Alerting Services, Journal Citation Reports/Science Edition, Web of Science.
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