Asymptotic normality of robust M-estimators with convex penalty

DOI10.1214/22-EJS2065MaRDI QIDQ2106774FDOQ2106774

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

asymptotic normality high-dimensional statistics robust estimation bias-correction M-estimator confidence Intervals Stein*s formula

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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Cited In (4)

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

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