On robust regression with high-dimensional predictors

DOI10.1073/pnas.1307842110zbMath1359.62184OpenAlexW2152565782WikidataQ37157443 ScholiaQ37157443MaRDI QIDQ2962135

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Publication date: 16 February 2017

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.1307842110

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Asymptotic behavior of M-estimators of p regression parameters when \(p^ 2/n\) is large. I. Consistency
• Robust regression: Asymptotics, conjectures and Monte Carlo
• On robust regression with high-dimensional predictors
• Proximité et dualité dans un espace hilbertien

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