Asymptotic normality of robust M-estimators with convex penalty

DOI10.1214/22-EJS2065MaRDI QIDQ2106774FDO

Authors Yanyan Li

Publication date 19 December 2022

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

Full work available at URL https://arxiv.org/abs/2107.03826

zbMATH Keywords

asymptotic normalityhigh-dimensional statisticsrobust estimationbias-correctionM-estimatorconfidence IntervalsStein*s formula

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(4)

• An adaptively resized parametric bootstrap for inference in high-dimensional generalized linear models
• Robustness and Tractability for Non-convex M-estimators
• Asymptotic normality of robust $M$-estimators with convex penalty
• Asymptotic risk and phase transition of \(l_1\)-penalized robust estimator

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