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Robust Nonparametric Methods for $α$-Mixing Sequences via Median-of-Means

Lovas, Attila et al.
arXiv (All) · Papers
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62g0562g0891g70probabilitystatistics-theory
The median-of-means (MoM) estimator is a robust alternative to the sample mean for heavy-tailed or contaminated data. While its non-asymptotic properties are well understood for i.i.d.\ samples, much less is known for dependent sequences. We establish non-asymptotic deviation bounds for the MoM esti
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