Ultrahigh-Dimensional Robust and Efficient Sparse Regression Using Non-Concave Penalized Density Power Divergence
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DOI: 10.1109/tit.2020.3013015
Abstract: We propose a sparse regression method based on the non-concave penalized density power divergence loss function which is robust against infinitesimal contamination in very high dimensionality. Present methods of sparse and robust regression are based… read more here.
Keywords: regression; density power; non concave; sparse regression ... See more keywords