Asymptotic risk and phase transition of \(l_1\)-penalized robust estimator

DOI10.1214/19-AOS1923zbMath1460.62109OpenAlexW3088575110MaRDI QIDQ2215774

Hanwen Huang

Publication date: 14 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1600480944

zbMATH Keywords

minimaxrobustnessphase transitionmean square errorpenalized estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (3)

Automatic bias correction for testing in high‐dimensional linear models ⋮ Detangling robustness in high dimensions: composite versus model-averaged estimation ⋮ Asymptotic normality of robust \(M\)-estimators with convex penalty

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