The Adaptive $\tau$-Lasso: Robustness and Oracle Properties

• Main Authors: Mozafari-Majd, Emadaldin, Koivunen, Visa
• Format: Journal Article
• Language: English
• Published: 18.04.2023
• Subjects: Computer Science - Learning; Statistics - Machine Learning
• DOI: 10.48550/arxiv.2304.09310

This paper introduces a new regularized version of the robust $\tau$-regression estimator for analyzing high-dimensional datasets subject to gross contamination in the response variables and covariates. The resulting estimator, termed adaptive $\tau$-Lasso, is robust to outliers and high-leverage po...