Winsorized mean estimation with heavy tails and adversarial contamination

Anders Bredahl Kock; David Preinerstorfer

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arXiv · 2504.08482

Winsorized mean estimation with heavy tails and adversarial contamination

Anders Bredahl Kock·David Preinerstorfer

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Abstract

Finite-sample upper bounds on the estimation error of a winsorized mean estimator of the population mean in the presence of heavy tails and adversarial contamination are established. In comparison to existing results, the winsorized mean estimator we study avoids a sample-splitting device and winsorizes substantially fewer observations, which improves its applicability and practical performance.

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Anders Bredahl Kock, David Preinerstorfer. 2025-04-11. Winsorized mean estimation with heavy tails and adversarial contamination. https://arxiv.org/abs/2504.08482

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