Optimal Estimators for Heavy-Tailed Mean Estimation via Convex Analysis

Abstract

We study optimal estimation of the location parameter of a distribution known only to lie in a symmetric moment class $\mathcal C_0$: the mean-zero distributions with bounded moment $\intϕ\, d\mathbb P\le B$ for a fixed even $ϕ$. Our main result concerns the fixed-margin regime, where the error margin $Δ$ is fixed as $n\to\infty$: we give an exact large-deviation characterization of the smallest worst-case probability $β_n(Δ)$ of an error exceeding $Δ$ that any measurable estimator can guarantee with $n$ observations. Its exponential rate is exactly a two-point Hellinger exponent over the class shifted to means $\pmΔ$, $r(Δ)=-\log\sup_{\mathbb P_{\pmΔ}\in\mathcal C_{\pmΔ}}\int\sqrt{d\mathbb P_{-Δ}\, d\mathbb P_Δ}$, achieved non-asymptotically, $β_n(Δ)\le e^{-nr(Δ)}$, by a monotone $M$-estimator synthesized from a two-parameter convex program. Lagrangian duality collapses the infinite-dimensional search over estimating functions to two multipliers, which determine a pair of envelopes characterizing the optimal estimating functions; the sandwich shape posited ad hoc in prior constructions emerges naturally. For bounded variance ($ϕ(x)=x^2$, $B=σ^2$) the exponent is $r(Δ)=\tfrac12\log(1+Δ^2/σ^2)$. In the fixed-confidence regime, holding $β$ fixed and letting the optimal margin $Δ_n(β)$ shrink with $n$, the same synthesis stays optimal to leading order for several concrete classes. As $β\downarrow0$ it attains the sharp constant $\sqrt2$ of Catoni for bounded variance and the constant $L(α)$ of Lee and Bhatt et al. for bounded $α$-moments, $α\in(1,2)$, thereby shown tight; for slowly varying $ϕ$ it is leading-order minimax at every fixed $β$. The least-favorable distributions are simple, supported on at most three atoms.