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Penalized and constrained LAD estimation in fixed and high dimension.

Xiaofei Wu1, Rongmei Liang1, Hu Yang1

  • 1College of Mathematics and Statistics, Chongqing University, Chongqing, 401331 People's Republic of China.

Statistical Papers (Berlin, Germany)
|April 5, 2021
PubMed
Summary

This study introduces a penalized LAD estimation method incorporating linear constraints, offering improved performance with heavy-tailed errors and outliers. The new method demonstrates theoretical advantages in both fixed and high-dimensional settings, outperforming existing techniques.

Keywords:
ADMMHigh dimensional regressionLADLassoLinear constraintsOracle propertyVariable selection

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Area of Science:

  • Statistics
  • Econometrics
  • Machine Learning

Background:

  • Prior information and structure in applications can be modeled as constraints on regression coefficients.
  • Existing methods like constrained lasso may not perform optimally with heavy-tailed errors or outliers.

Purpose of the Study:

  • To propose a novel penalized LAD (Least Absolute Deviations) estimation incorporating linear constraints.
  • To address limitations of existing methods in the presence of heavy-tailed errors and outliers.

Main Methods:

  • Developed a penalized LAD estimation with linear constraints.
  • Utilized linear programming for fixed-dimension coefficient estimation.
  • Implemented a nested alternating direction method of multipliers (ADMM) for high-dimensional settings.

Main Results:

  • The proposed estimation exhibits the Oracle property with adjusted normal variance in fixed dimensions.
  • In high-dimensional cases (p >> n), the error bound is sharper than existing methods.
  • The method is robust across various noise distributions, including the Cauchy distribution.

Conclusions:

  • The penalized LAD estimation with linear constraints is a robust and effective alternative, especially when constrained lasso methods are unreliable.
  • Theoretical and simulation results validate the proposed method's performance in diverse statistical scenarios.