A Tuning-free Robust and Efficient Approach to High-dimensional Regression

DOI10.1080/01621459.2020.1840989zbMath1452.62525MaRDI QIDQ5146020

Yunan N. Wu, Lan Wang, Jelena Bradic, Bo Peng, Run-Ze Li

Publication date: 22 January 2021

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2020.1840989

zbMATH Keywords

robustness; efficiency; linear regression; high dimension; tuning parameter; heavy-tailed error

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

62F35: Robustness and adaptive procedures (parametric inference)

Related Items

TFRE

Uses Software

• PDCO
• glmnet
• flare
• QICD