A shrinkage principle for heavy-tailed data: high-dimensional robust low-rank matrix recovery

DOI10.1214/20-AOS1980zbMath1479.62034arXiv1603.08315OpenAlexW3192637965MaRDI QIDQ820791

Ziwei Zhu, Jianqing Fan, Wei-Chen Wang

Publication date: 28 September 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.08315

zbMATH Keywords

robust statisticsshrinkagehigh-dimensional statisticslow-rank matrix recoverytrace regressionheavy-tailed data

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Uses Software

• PDCO

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