@inproceedings{biswas2020coinpress,
author = {Biswas, Sourav and Dong, Yihe and Kamath, Gautam and Ullman, Jonathan},
title = {CoinPress: Practical Private Mean and Covariance Estimation},
organization = {ACM},
booktitle = {NeurIPS 2020},
year = {2020},
month = {November},
abstract = {We present simple differentially private estimators for the mean and covariance of multivariate sub-Gaussian data that are accurate at small sample sizes. We demonstrate the effectiveness of our algorithms both theoretically and empirically using synthetic and real-world datasets -- showing that their asymptotic error rates match the state-of-the-art theoretical bounds, and that they concretely outperform all previous methods. Specifically, previous estimators either have weak empirical accuracy at small sample sizes, perform poorly for multivariate data, or require the user to provide strong a priori estimates for the parameters.},
url = {http://approjects.co.za/?big=en-us/research/publication/coinpress-practical-private-mean-and-covariance-estimation/},
note = {Code available: https://github.com/twistedcubic/coin-press.},
}