Aggregated hold out for sparse linear regression with a robust loss function

DOI10.1214/21-EJS1952zbMath1493.62443arXiv2002.11553MaRDI QIDQ2136632

Guillaume Maillard

Publication date: 11 May 2022

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

Full work available at URL: https://arxiv.org/abs/2002.11553

zbMATH Keywords

aggregationmodel selectioncross-validationrobust regressionLassosparse regressionhyperparameter selection

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear inference, regression (62J99)

Uses Software

• glmnet
• Bolasso

Cites Work

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