Robust and tuning-free sparse linear regression via square-root slope

DOI10.1137/23m1608690MaRDI QIDQ6583518

Stanislav Minsker, Lang Wang, Mohamed Ndaoud

Publication date: 6 August 2024

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

zbMATH Keywords

robust inferencesparse linear regressionslopesub-Gaussian deviations

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35)

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