Ultrahigh-Dimensional Robust and Efficient Sparse Regression Using Non-Concave Penalized Density Power Divergence

DOI10.1109/TIT.2020.3013015MaRDI QIDQ5138934zbMATH OpenOpenAlexFDO

Authors Abhik Ghosh, Subhabrata Majumdar

Publication date 4 December 2020

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.04906

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: We propose a sparse regression method based on the non-concave penalized density power divergence loss function which is robust against infinitesimal contamination in very high dimensionality. Present methods of sparse and robust regression are based on $el{l}_1$-penalization, and their theoretical properties are not well-investigated. In contrast, we use a general class of folded concave penalties that ensure sparse recovery and consistent estimation of regression coefficients. We propose an alternating algorithm based on the Concave-Convex procedure to obtain our estimate, and demonstrate its robustness properties using influence function analysis. Under some conditions on the fixed design matrix and penalty function, we prove that this estimator possesses large-sample oracle properties in an ultrahigh-dimensional regime. The performance and effectiveness of our proposed method for parameter estimation and prediction compared to state-of-the-art are demonstrated through simulation studies.

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(9)

• On distance-type Gaussian estimation
• Robust Lasso and its applications in healthcare data
• Classification of COVID19 Patients using robust logistic regression
• Robust sure independence screening for nonpolynomial dimensional generalized linear models
• Model selection for independent not identically distributed observations based on Rényi's pseudodistances
• Overview of robust variable selection methods for high-dimensional linear regression model
• Heavy Lasso: sparse penalized regression under heavy-tailed noise via data-augmented soft-thresholding
• Robust adaptive Lasso in high-dimensional logistic regression
• The adaptive robust and efficient variable selection method for the linear regression model

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