Heavy Lasso: sparse penalized regression under heavy-tailed noise via data-augmented soft-thresholding
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DOI: 10.1007/s11222-025-10785-6
Abstract: High-dimensional linear regression is a fundamental tool in modern statistics, particularly when the number of predictors exceeds the sample size. The classical Lasso, which relies on the squared loss, performs well under Gaussian noise assumptions… read more here.
Keywords: heavy lasso; tailed noise; heavy tailed; regression ... See more keywords
Stochastic PDEs with heavy-tailed noise
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DOI: 10.1016/j.spa.2016.10.011
Abstract: We analyze the nonlinear stochastic heat equation driven by heavy-tailed noise on unbounded domains and in arbitrary dimension. The existence of a solution is proved even if the noise only has moments up to an… read more here.
Keywords: tailed noise; pdes heavy; stochastic pdes; heavy tailed ... See more keywords
Robust Bayesian Recursive Ensemble Kalman Filter Under the Nonstationary Heavy-Tailed Noise
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DOI: 10.1109/jsen.2024.3477421
Abstract: For the issue of target tracking in nonlinear and nonstationary heavy-tailed noise systems, this article proposed a novel robust Bayesian recursive ensemble Kalman filter (RBREnKF), breaking through the limitations of EnKF under highly nonlinear and… read more here.
Keywords: filter; tailed noise; heavy tailed; nonstationary heavy ... See more keywords