Adaptive Huber regression on Markov-dependent data

DOI10.1016/J.SPA.2019.09.004MaRDI QIDQ2145801zbMATH OpenOpenAlexWikidataFDO

Authors Yongyi Guo, Bai Jiang, Jianqing Fan

Publication date 20 June 2022

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.09027

zbMATH Keywords

Markov chainhigh-dimensional regressionheavy-tailed errorsdependent observationsadaptive Huber regression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(4)

• Volatility models for stylized facts of high‐frequency financial data
• Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates
• Adaptive Huber Regression on Markov-dependent Data
• Nonasymptotic analysis of robust regression with modified Huber's loss

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