On the estimation of the mean of a random vector
  We study the problem of estimating the mean of a multivariatedistribution based on independent samples. The main result is the proof of existence of an estimator with a non-asymptotic sub-Gaussian performance for all distributions satisfying some mild moment assumptions. 
Emilien Joly (MODAL'X), G\'abor Lugosi (ICREA), Roberto I. Oliveira   (IMPA)
math.ST stat.TH