Limiting behavior of M-estimators of regression coefficients in high dimensional linear models. I: Scale-dependent case. II: Scale-invariant case

DOI10.1006/JMVA.1994.1059MaRDI QIDQ1340291zbMATH OpenOpenAlexFDO

Authors Zhidong Bai, Yuehua Wu

Publication date 11 December 1994

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1994.1059

zbMATH Keywords

\(M\)-estimatorslinear modelsscale-invariantscale-variant

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05)

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Cited in

(24)

• On parameters of increasing dimensions
• Asymptotics for high dimensional regression \(M\)-estimates: fixed design results
• Balanced augmented empirical likelihood for regression models
• Asymptotic properties of maximum quasi-likelihood estimators in generalized linear models with diverging number of covariates
• Asymptotic properties on high-dimensional multivariate regression M-estimation
• The \(k\)th power expectile regression
• Asymptotics for M-type smoothing splines with non-smooth objective functions
• Estimation of a multiplicative correlation structure in the large dimensional case
• GEE analysis of clustered binary data with diverging number of covariates
• Robust estimation for partially linear models with large-dimensional covariates
• Analysis of GEE with a mixture working correlation matrix for diverging number of covariates
• Tobit regression model with parameters of increasing dimensions
• Weighted composite quantile estimation and variable selection method for censored regression model
• Model averaging for M-estimation
• A relative error-based estimation with an increasing number of parameters
• Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
• Partially linear additive quantile regression in ultra-high dimension
• Jackknife model averaging for high‐dimensional quantile regression
• Robust optimal estimation of location from discretely sampled functional data
• Penalized \(M\)-estimation based on standard error adjusted adaptive elastic-net
• Incorporating Graphical Structure of Predictors in Sparse Quantile Regression
• ADMM for High-Dimensional Sparse Penalized Quantile Regression
• M-estimation in high-dimensional linear model
• Communication-efficient distributed estimator for generalized linear models with a diverging number of covariates

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