On robust regression with high-dimensional predictors
نویسندگان
چکیده
منابع مشابه
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 p ≤ n. We find an exact stochastic representation for the distribution of β = argmin(β∈ℝ(p)) Σ(i=1)(n) ρ(Y(i) - X(i')β) at fixed p and n under various assumptions on the objective function ρ and our statistical model. A scalar random variable whose determinist...
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ژورنال
عنوان ژورنال: Proceedings of the National Academy of Sciences
سال: 2013
ISSN: 0027-8424,1091-6490
DOI: 10.1073/pnas.1307842110