Robust Variable Selection With Exponential Squared Loss
نویسندگان
چکیده
منابع مشابه
Adaptive Robust Variable Selection.
Heavy-tailed high-dimensional data are commonly encountered in various scientific fields and pose great challenges to modern statistical analysis. A natural procedure to address this problem is to use penalized quantile regression with weighted L1-penalty, called weighted robust Lasso (WR-Lasso), in which weights are introduced to ameliorate the bias problem induced by the L1-penalty. In the ul...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2013
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2013.766613