Penalized Maximum Tangent Likelihood Estimation and Robust Variable Selection

DOI10.48550/ARXIV.1708.05439arXiv1708.05439MaRDI QIDQ65848FDOQ65848

Yan Yu, Yichen Qin, Yang Li, Shaobo Li

Publication date: 17 August 2017

Abstract: We introduce a new class of mean regression estimators -- penalized maximum tangent likelihood estimation -- for high-dimensional regression estimation and variable selection. We first explain the motivations for the key ingredient, maximum tangent likelihood estimation (MTE), and establish its asymptotic properties. We further propose a penalized MTE for variable selection and show that it is $sqrtn$-consistent, enjoys the oracle property. The proposed class of estimators consists penalized $el{l}_2$ distance, penalized exponential squared loss, penalized least trimmed square and penalized least square as special cases and can be regarded as a mixture of minimum Kullback-Leibler distance estimation and minimum $el{l}_2$ distance estimation. Furthermore, we consider the proposed class of estimators under the high-dimensional setting when the number of variables $d$ can grow exponentially with the sample size $n$, and show that the entire class of estimators (including the aforementioned special cases) can achieve the optimal rate of convergence in the order of $sqrtln(d)/n$. Finally, simulation studies and real data analysis demonstrate the advantages of the penalized MTE.

Cited In (1)

• MTE

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