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On robust regression with high-dimensional predictors

We study regression M-estimates in the setting where p, the number of covariates, and n, the number of observations, are both large, but [Image: see text]. We find an exact stochastic representation for the distribution of [Image: see text] at fixed p and n under various assumptions on the objective...

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Detalhes bibliográficos
Main Authors: El Karoui, Noureddine, Bean, Derek, Bickel, Peter J., Lim, Chinghway, Yu, Bin
Formato: Artigo
Idioma:Inglês
Publicado em: National Academy of Sciences 2013
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC3767561/
https://ncbi.nlm.nih.gov/pubmed/23954908
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.1307842110
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