On Mean Estimation for General Norms with Statistical Queries

Jerry Li, Aleksandar Nikolov, Ilya Razenshteyn, Erik Waingarten

We study the problem of mean estimation for high-dimensional distributions, assuming access to a statistical query oracle for the distribution. For a normed space $X = (\mathbb{R}^d, \|\cdot\|_X)$ 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 $\epsilon$-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 symmetric as well as for Schatten-$p$ norms, answering two questions raised by Feldman, Guzm\'{a}n, and Vempala (SODA 2017).

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