M-estimation in high-dimensional linear model

DOI10.1186/S13660-018-1819-3zbMath1498.62056arXiv1803.04362OpenAlexW2789482609WikidataQ64881894 ScholiaQ64881894MaRDI QIDQ824747

Kai Wang, Yanling Zhu

Publication date: 15 December 2021

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.04362

zbMATH Keywords

variable selectionhigh-dimensionalityoracle propertypenalized methodM-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Exact distribution theory in statistics (62E15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (2)

Robust variable selection via penalized MT-estimator in generalized linear models ⋮ Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors

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