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

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F35: Robustness and adaptive procedures (parametric inference)

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