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URL:https://doi · 2021 · Electronic Communications in Probability · DOI 10.1214/26-ecp761

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Estimation of the sub-Gaussian parameter

math.ST · 2026-06-04 · unverdicted · novelty 7.0

Introduces a consistent estimator for the sub-Gaussian variance proxy via constrained empirical maximization of L(λ), with rates O_p(n^{-1/2+ε}) or O_p(n^{-1/2}) under assumptions on L, minimax optimality in a subclass, and behavior for non-sub-Gaussian cases.

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  • Estimation of the sub-Gaussian parameter math.ST · 2026-06-04 · unverdicted · none · ref 2

    Introduces a consistent estimator for the sub-Gaussian variance proxy via constrained empirical maximization of L(λ), with rates O_p(n^{-1/2+ε}) or O_p(n^{-1/2}) under assumptions on L, minimax optimality in a subclass, and behavior for non-sub-Gaussian cases.