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Record W3174019841 · doi:10.48550/arxiv.2107.00118

Do we need to estimate the variance in robust mean estimation?

2021· preprint· en· W3174019841 on OpenAlexaff
Qiang Sun

Bibliographic record

VenuearXiv (Cornell University) · 2021
Typepreprint
Languageen
FieldMathematics
TopicAdvanced Statistical Methods and Models
Canadian institutionsUniversity of Toronto
Fundersnot available
KeywordsRobustificationEstimatorVariance (accounting)Function (biology)Mathematical optimizationComputer scienceSample mean and sample covarianceEstimation theoryMathematicsApplied mathematicsStatisticsAlgorithmEconomics

Abstract

fetched live from OpenAlex

In this paper, we propose self-tuned robust estimators for estimating the mean of heavy-tailed distributions, which refer to distributions with only finite variances. Our approach introduces a new loss function that considers both the mean parameter and a robustification parameter. By jointly optimizing the empirical loss function with respect to both parameters, the robustification parameter estimator can automatically adapt to the unknown data variance, and thus the self-tuned mean estimator can achieve optimal finite-sample performance. Our method outperforms previous approaches in terms of both computational and asymptotic efficiency. Specifically, it does not require cross-validation or Lepski's method to tune the robustification parameter, and the variance of our estimator achieves the Cramér-Rao lower bound. Project source code is available at \url{https://github.com/statsle/automean}.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.019
metaresearch head score (Gemma)0.141
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Methods · Consensus signal: Methods
Teacher disagreement score0.019
Threshold uncertainty score0.098

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0190.141
Meta-epidemiology (narrow)0.0020.001
Meta-epidemiology (broad)0.0030.001
Bibliometrics0.0020.001
Science and technology studies0.0010.004
Scholarly communication0.0030.011
Open science0.0040.003
Research integrity0.0040.007
Insufficient payload (model declined to judge)0.0020.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.212
GPT teacher head0.334
Teacher spread0.122 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreMethods

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2021
Admission routes1
Has abstractyes

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