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On Mean Estimation for General Norms with Statistical Queries
Proceedings of the Thirty-Second Conference on Learning Theory, PMLR 99:2158-2172, 2019.
Abstract
We study the problem of mean estimation for high-dimensional distributions given access to a statistical query oracle. For a normed space X=(Rd,‖ and a distribution supported on vectors x \in \mathbb{R}^d with \|x\|_{X} \leq 1, the task is to output an estimate \hat{\mu} \in \mathbb{R}^d which is \varepsilon-close in the distance induced by \|\cdot\|_X to the true mean of the distribution. We obtain sharp upper and lower bounds for the statistical query complexity of this problem when the the underlying norm is \emph{symmetric} as well as for Schatten-p norms, answering two questions raised by Feldman, Guzmán, and Vempala (SODA 2017).