Adaptive Huber Regression.
Adaptive Huber regression
bias and robustness tradeoff
finite-sample inference
heavy-tailed data
nonasymptotic optimality
phase transition
Journal
Journal of the American Statistical Association
ISSN: 0162-1459
Titre abrégé: J Am Stat Assoc
Pays: United States
ID NLM: 01510020R
Informations de publication
Date de publication:
2020
2020
Historique:
entrez:
3
11
2020
pubmed:
4
11
2020
medline:
4
11
2020
Statut:
ppublish
Résumé
Big data can easily be contaminated by outliers or contain variables with heavy-tailed distributions, which makes many conventional methods inadequate. To address this challenge, we propose the adaptive Huber regression for robust estimation and inference. The key observation is that the robustification parameter should adapt to the sample size, dimension and moments for optimal tradeoff between bias and robustness. Our theoretical framework deals with heavy-tailed distributions with bounded (1 +
Identifiants
pubmed: 33139964
doi: 10.1080/01621459.2018.1543124
pmc: PMC7603940
mid: NIHMS1639544
doi:
Types de publication
Journal Article
Langues
eng
Pagination
254-265Subventions
Organisme : NIGMS NIH HHS
ID : R01 GM072611
Pays : United States
Références
Nat Genet. 2000 Mar;24(3):227-35
pubmed: 10700174
Ann Stat. 2018 Apr;46(2):814-841
pubmed: 29930436
Oncogene. 2008 Nov 6;27(52):6679-89
pubmed: 18724390
J R Stat Soc Series B Stat Methodol. 2017 Jan;79(1):247-265
pubmed: 28479862
Oncol Rep. 2017 Jan;37(1):388-398
pubmed: 27878264
Proc Natl Acad Sci U S A. 2016 Jul 12;113(28):7900-5
pubmed: 27357684
Ann Appl Stat. 2015;9(3):1103-1140
pubmed: 26709357
Ann Stat. 2014 Feb 1;42(1):324-351
pubmed: 25580039
J Am Stat Assoc. 2012 Mar 1;107(497):214-222
pubmed: 23082036
Breast Cancer Res. 2000;2(2):107-15
pubmed: 11250700
Stat Appl Genet Mol Biol. 2005;4:Article16
pubmed: 16646833
J Am Stat Assoc. 2015;110(512):1658-1669
pubmed: 26848205
Ann Stat. 2015 Oct 1;43(5):2225-2258
pubmed: 26604424
Mol Cancer Ther. 2007 Mar;6(3):820-32
pubmed: 17339364
Clin Cancer Res. 2008 Aug 15;14(16):5050-60
pubmed: 18698023
Mamm Genome. 2005 Dec;16(12):942-54
pubmed: 16341674
Stem Cells. 2012 Dec;30(12):2810-9
pubmed: 23034983
Am J Pathol. 1998 Jan;152(1):23-7
pubmed: 9422519
Br J Cancer. 2004 Aug 31;91(5):873-8
pubmed: 15280913
Retrovirology. 2014 Dec 13;11:118
pubmed: 25496667