Minimum distance Lasso for robust high-dimensional regression

DOI10.1214/16-EJS1136zbMATH Open1349.62322OpenAlexW2405968727MaRDI QIDQ286223FDOQ286223

Authors: Aurélie C. Lozano, Nicolai Meinshausen, Eunho Yang 

Publication date: 20 May 2016

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1463664092

Recommendations

• Statistical consistency and asymptotic normality for high-dimensional robust \(M\)-estimators
• Robust sparse regression with high-breakdown value
• Scale calibration for high-dimensional robust regression
• Asymptotic analysis of high-dimensional LAD regression with Lasso smoother
• Iteratively reweighted \(\ell_1\)-penalized robust regression

zbMATH Keywords

Lassorobust estimationhigh-dimensional variable selectionsparse learning

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Sparse least trimmed squares regression for analyzing high-dimensional large data sets
• Title not available (Why is that?)
• Title not available (Why is that?)
• Simultaneous analysis of Lasso and Dantzig selector
• High-dimensional graphs and variable selection with the Lasso
• Sparsity and Smoothness Via the Fused Lasso
• Model Selection and Estimation in Regression with Grouped Variables
• Robust Statistics
• A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
• Title not available (Why is that?)
• Robust Statistics
• An algorithm for information structuring and retrieval
• Optimization with sparsity-inducing penalties
• 10.1162/153244303321897690
• What is invexity?
• Robust and efficient estimation by minimising a density power divergence
• Robust location estimates
• The ``automatic robustness of minimum distance functionals
• Metric fibrations from simply connected rank-one projective spaces
• Supervised Feature Selection in Graphs with Path Coding Penalties and Network Flows
• The Minimum Distance Method
• Multiscale Mining of fMRI Data with Hierarchical Structured Sparsity
• The Exact l 1 Penalty Function Method for Constrained Nonsmooth Invex Optimization Problems
• Regularized M-estimators with nonconvexity: Statistical and algorithmic theory for local optima
• Encoding and decoding V1 fMRI responses to natural images with sparse nonparametric models
• Robust inversion, dimensionality reduction, and randomized sampling

Cited In (14)

• The main contributions of robust statistics to statistical science and a new challenge
• Overview of robust variable selection methods for high-dimensional linear regression model
• Robust regression against heavy heterogeneous contamination
• I-LAMM for sparse learning: simultaneous control of algorithmic complexity and statistical error
• Robust estimation in regression and classification methods for large dimensional data
• Robust Coordinate Descent Algorithm Robust Solution Path for High-dimensional Sparse Regression Modeling
• A Sharper Computational Tool for Regression
• Robust Low-Rank Tensor Decomposition with the L ₂ Criterion
• High-dimensional composite quantile regression: optimal statistical guarantees and fast algorithms
• A User-Friendly Computational Framework for Robust Structured Regression with the L₂ Criterion
• Robust subset selection
• A semi-parametric approach to feature selection in high-dimensional linear regression models
• The landscape of empirical risk for nonconvex losses
• A Tuning-free Robust and Efficient Approach to High-dimensional Regression

Uses Software

• robustbase
• bootlib

This page was built for publication: Minimum distance Lasso for robust high-dimensional regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q286223)