Robust Lasso Regression Using Tukey's Biweight Criterion

The adaptive lasso is a method for performing simultaneous parameter estimation and variable selection. The adaptive weights used in its penalty term mean that the adaptive lasso achieves the oracle property. In this work, we propose an extension of the adaptive lasso named the Tukey-lasso. By using...

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Veröffentlicht in:	Technometrics Jg. 60; H. 1; S. 36 - 47
Hauptverfasser:	Chang, Le, Roberts, Steven, Welsh, Alan
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Alexandria Taylor & Francis 02.01.2018 American Society for Quality and the American Statistical Association American Society for Quality
Schlagworte:	Accelerated proximal gradient algorithm Adaptive lasso Algorithms Computer simulation Criteria Estimating techniques Oracle property Outliers (statistics) Parameter estimation Regression analysis Robust estimation Robustness (mathematics)
ISSN:	0040-1706, 1537-2723
Online-Zugang:	Volltext
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