Robust and tuning-free sparse linear regression via square-root slope

DOI10.1137/23M1608690MaRDI QIDQ6583518zbMATH OpenFDO

Authors Stanislav Minsker, Mohamed Ndaoud, Lang Wang

Publication date 6 August 2024

Published in SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1608690

zbMATH Keywords

robust inferenceslopesparse linear regressionsub-Gaussian deviations

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

• A general decision theory for Huber's \(\epsilon\)-contamination model
• A simple tool for bounding the deviation of random matrices on geometric sets
• Adaptive robust estimation in sparse vector model
• Efficient algorithms and lower bounds for robust linear regression
• Estimation and testing under sparsity. École d'Été de Probabilités de Saint-Flour XLV -- 2015
• High dimensional robust M-estimation: asymptotic variance via approximate message passing
• Highly Robust Error Correction byConvex Programming
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Improved bounds for square-root Lasso and square-root slope
• On the conditions used to prove oracle results for the Lasso
• Outlier detection using nonconvex penalized regression
• Robust and efficient mean estimation: an approach based on the properties of self-normalized sums
• Robust Lasso With Missing and Grossly Corrupted Observations
• Robust machine learning by median-of-means: theory and practice
• Robust regression via mutivariate regression depth
• Sharp oracle inequalities for square root regularization
• Slope meets Lasso: improved oracle bounds and optimality
• SLOPE-adaptive variable selection via convex optimization
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).

Cited in

(4)

• Outlier robust and sparse estimation of linear regression coefficients
• The impact of contamination and correlated design on the Lasso: an average case analysis
• Computationally efficient and statistically optimal robust high-dimensional linear regression
• Distributed learning with adversarial contamination: an efficient and optimal approach based on dynamic regularization

This page was built for publication: Robust and tuning-free sparse linear regression via square-root slope

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6583518)