Low-rank elastic-net regularized multivariate Huber regression model

DOI10.1016/j.apm.2020.05.012zbMath1481.62025OpenAlexW3027571940MaRDI QIDQ2049832

Zhiyong Huang, Bing Zhen Chen, Wen-juan Zhai

Publication date: 27 August 2021

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2020.05.012

zbMATH Keywords

heavy tailscollinearityaccelerated proximal gradient algorithmgrouping effect propertymultivariate Huber regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Convex programming (90C25) Numerical optimization and variational techniques (65K10) Optimality conditions and duality in mathematical programming (90C46)

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Variable selection and collinearity processing for multivariate data via row-elastic-net regularization ⋮ Regression with adaptive Lasso and correlation based penalty

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