Perspective maximum likelihood-type estimation via proximal decomposition

DOI10.1214/19-EJS1662zbMath1440.90045arXiv1805.06098MaRDI QIDQ2286365

Christian L. Müller, Patrick L. Combettes

Publication date: 22 January 2020

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

Full work available at URL: https://arxiv.org/abs/1805.06098

zbMATH Keywords

convex optimization; robust regression; proximal algorithm; heteroscedastic model; perspective function; concomitant M-estimator

Mathematics Subject Classification ID

62P10: Applications of statistics to biology and medical sciences; meta analysis

62J02: General nonlinear regression

90C25: Convex programming

46N30: Applications of functional analysis in probability theory and statistics