Discussion of “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression”

DOI10.1080/01621459.2020.1837139MaRDI QIDQ5146022zbMATH OpenOpenAlexFDO

Authors Xiudi Li, Ali Shojaie

Publication date 22 January 2021

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2020.1837139

zbMATH Keywords

efficiencyheavy-tailed errorhigh dimensionlinear regressionrobustnesstuning parameter

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

• A general theory of hypothesis tests and confidence regions for sparse high dimensional models
• A permutation approach for selecting the penalty parameter in penalized model selection
• Estimation of high-dimensional graphical models using regularized score matching
• Generalized score matching for non-negative data
• Graph estimation with joint additive models
• High dimensional semiparametric latent graphical model for mixed data
• High-dimensional graphs and variable selection with the Lasso
• High-dimensional semiparametric Gaussian copula graphical models
• Model selection and estimation in the Gaussian graphical model
• Regularized rank-based estimation of high-dimensional nonparanormal graphical models
• Scaled sparse linear regression
• Selection and estimation for mixed graphical models
• Sparse inverse covariance estimation with the graphical lasso
• The nonparanormal: semiparametric estimation of high dimensional undirected graphs

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Uses Software

• glasso

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