Robust regression through the Huber's criterion and adaptive lasso penalty

DOI10.1214/11-EJS635zbMath1274.62467arXiv1207.6868MaRDI QIDQ1952217

Laurent Zwald, Sophie Lambert-Lacroix

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.6868

zbMATH Keywords

robust estimation oracle property adaptive Lasso Huber's criterion concomitant scale

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

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