On robust regression with high-dimensional predictors

Author:

El Karoui Noureddine,Bean Derek,Bickel Peter J.,Lim Chinghway,Yu Bin

Publisher

Proceedings of the National Academy of Sciences

Subject

Multidisciplinary

Reference10 articles.

1. Huber PJ, Ronchetti EM (2009) Robust Statistics. Wiley Series in Probability and Statistics (Wiley, Hoboken, NJ), 2nd Ed.

2. Huber PJ (1973) Robust regression: Asymptotics, conjectures and Monte Carlo. Ann Stat 1:799–821.

3. Portnoy S (1984) Asymptotic behavior of M-estimators of p regression parameters when p2/n is large. I. Consistency. Ann Stat 12(4):1298–1309.

4. Bloomfield P (1974) On the distribution of the residuals from a fitted linear model (Department of Statistics, Princeton Univ, Princeton, NJ), Technical Report 56, Series 2.

5. El Karoui N, Bean D, Bickel P, Lim C, Yu B (2012) On robust regression with high-dimensional predictors (Department of Statistics, Univ of California, Berkeley, CA), Technical Report 811.

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