We describe a computational method for parameter estimation in linear regression, that is capable of simultaneously producing sparse estimates and dealing with outliers and heavy-tailed error distributions. The method used is based on the image restoration method proposed in Huang et al. (2017)]. It can be applied to problems of arbitrary size. The choice of certain parameters is discussed. Results obtained for simulated and real data are presented.
Large-scale regression with non-convex loss and penalty
Buccini, Alessandro;Donatelli, Marco;Martinelli, Andrea;
2020-01-01
Abstract
We describe a computational method for parameter estimation in linear regression, that is capable of simultaneously producing sparse estimates and dealing with outliers and heavy-tailed error distributions. The method used is based on the image restoration method proposed in Huang et al. (2017)]. It can be applied to problems of arbitrary size. The choice of certain parameters is discussed. Results obtained for simulated and real data are presented.
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