Catoni mean estimator

A Catoni mean estimator estimates an expected value from independent and identically distributed random variables with finite variance, using a nonlinear score instead of directly averaging the observations. Choose a continuous monotone function $\psi$ satisfyingand solve ${\sum }_i\psi (\alpha (X_i-\hat{\mu }))=0$ for $\alpha >0$.

For known variance $v>0$, set $L=\log (1/\epsilon )$, $0<\epsilon <1/2$, and assume $n>2L$. The choicesgive $\mathbb{P}(|\hat{\mu }-\mu |\le \eta )\ge 1-2\epsilon$. The quadratic envelope controls exponential moments of the transformed score using only second moments; Markov's inequality and score monotonicity then bracket its root. The tuning depends on the variance and confidence level in this version.^[ref]

The estimating score $\psi$ is not automatically a normalized population influence function. This procedure targets the mean of the sampled probability distribution; it does not identify an uncontaminated component's location without additional assumptions.