Implement robust mean estimators #11
Description
Similarly to https://github.com/google-research/rliable we may want to have some robust mean estimators implemented here.
There exists however more efficient estimators than IQM. I would suggest
- IQM plus bootstrap CI as suggested in rliable
- https://arxiv.org/pdf/2301.09573 and https://arxiv.org/abs/2202.01250 for sequential estimation and CI
- Also quantiles to do a CI on median (see also issue Implement confidence sequences #10)
- Also Li & Valiant mean estimator for Heavy-tail mean estimation.