Robust-to-outliers square-root LASSO, simultaneous inference with a MOM approach

We consider the least-squares regression problem with unknown noise variance, where the observed data points are allowed to be corrupted by outliers. Building on the median-of-means (MOM) method introduced by Lecue and Lerasle Ann.Statist.48(2):906-931(April 2020) in the case of known noise variance...

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Hauptverfasser:	Finocchio, G, Derumigny, A, Proksch, K
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Statistics Theory Statistics - Theory
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