Statistical consistency and asymptotic normality for high-dimensional robust M-estimators

We study theoretical properties of regularized robust M -estimators, applicable when data are drawn from a sparse high-dimensional linear model and contaminated by heavytailed distributions and/or outliers in the additive errors and covariates. We first establish a form of local statistical consistency for the penalized regression estimators under fairly mild conditions on the error distribution: When the derivative of the loss function is bounded and satisfies a local restricted curvature condition, all stationary points within a constant radius of the true regression vector converge at the minimax rate enjoyed by the Lasso with sub-Gaussian errors. When an appropriate nonconvex regularizer is used in place of an l1-penalty, we show that such stationary points are in fact unique and equal to the local oracle solution with the correct support—hence, results on asymptotic normality in the low-dimensional case carry over immediately to the high-dimensional setting. This has important implications for the efficiency of regularized nonconvex M estimators when the errors are heavy-tailed. Our analysis of the local curvature of the loss function also has useful consequences for optimization when the robust regression function and/or regularizer is nonconvex and the objective function possesses stationary points outside the local region. We show that as long as a composite gradient descent algorithm is initialized within a constant radius of the true regression vector, successive iterates will converge at a linear rate to a stationary point within the local region. Furthermore, the global optimum of a convex regularized robust regression function may be used to obtain a suitable initialization. The result is a novel two-step procedure that uses a convex M estimator to achieve consistency and a nonconvex M -estimator to increase efficiency. We conclude with simulation results that corroborate our theoretical findings.