Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions
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Publication:5378163
DOI10.1111/rssb.12166zbMath1414.62178OpenAlexW2338469198WikidataQ38799334 ScholiaQ38799334MaRDI QIDQ5378163
Quefeng Li, Yuyan Wang, Jianqing Fan
Publication date: 12 June 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/rssb.12166
Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32)
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