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Robust penalized M-estimators Avella-Medina, Marco
Description
Data sets where the number of variables p is comparable to or larger than the number of observations n arise frequently nowadays in a large variety of fields. High dimensional statistics has played a key role in the analysis of such data and much progress has been achieved over the last two decades in this domain. Most of the existing procedures are likelihood based and therefore quite sensitive to deviations from the stochastic assumptions. We study robust penalized M-estimators and discuss some of their formal robustness properties. In the context of high dimensional generalized linear models we provide oracle properties for our proposals. We discuss some strategies for the selection of the tuning parameter and extensions to generalized additive models. We illustrate the behavior of our estimators in a simulation study.
Item Metadata
Title |
Robust penalized M-estimators
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2015-11-19T11:06
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Description |
Data sets where the number of variables p is comparable to or larger than the number of observations n arise frequently nowadays in a large variety of fields. High dimensional statistics has played a key role in the analysis of such data and much progress has been achieved over the last two decades in this domain. Most of the existing procedures are likelihood based and therefore quite sensitive to deviations from the stochastic assumptions. We study robust penalized M-estimators and discuss some of their formal robustness properties. In the context of high dimensional generalized linear models we provide oracle properties for our proposals. We discuss some strategies for the selection of the tuning parameter and extensions to generalized additive models. We illustrate the behavior of our estimators in a simulation study.
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Extent |
45 minutes
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Subject | |
Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: University of Geneva
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Series | |
Date Available |
2016-05-20
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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DOI |
10.14288/1.0303124
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Graduate
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International