Adaptive Huber regression on Markov-dependent data

DOI10.1016/J.SPA.2019.09.004OpenAlexW2977996757WikidataQ127219049 ScholiaQ127219049MaRDI QIDQ2145801FDOQ2145801

Jianqing Fan, Yongyi Guo, Bai Jiang

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.09027

zbMATH Keywords

Markov chainhigh-dimensional regressionheavy-tailed errorsdependent observationsadaptive Huber regression

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (4)

• Adaptive Huber Regression on Markov-dependent Data
• Volatility models for stylized facts of high‐frequency financial data
• Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates
• Nonasymptotic analysis of robust regression with modified Huber's loss

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