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Optimal M-estimation in high-dimensional regression

We consider, in the modern setting of high-dimensional statistics, the classic problem of optimizing the objective function in regression using M-estimates when the error distribution is assumed to be known. We propose an algorithm to compute this optimal objective function that takes into account t...

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Detalhes bibliográficos
Main Authors: Bean, Derek, Bickel, Peter J., El Karoui, Noureddine, Yu, Bin
Formato: Artigo
Idioma:Inglês
Publicado em: National Academy of Sciences 2013
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC3767535/
https://ncbi.nlm.nih.gov/pubmed/23954907
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.1307845110
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