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The L1 penalized LAD estimator for high dimensional linear regression

Citations

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Cited by:

  1. Elyasiani, Elyas & Movaghari, Hadi, 2022. "Determinants of corporate cash holdings: An application of a robust variable selection technique," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 967-993.
  2. Alexandre Belloni & Victor Chernozhukov & Lie Wang, 2013. "Pivotal estimation via square-root lasso in nonparametric regression," CeMMAP working papers CWP62/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2019. "Valid Post-Selection Inference in High-Dimensional Approximately Sparse Quantile Regression Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 749-758, April.
  4. Mohamed Ouhourane & Yi Yang & Andréa L. Benedet & Karim Oualkacha, 2022. "Group penalized quantile regression," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 495-529, September.
  5. Jiang, Rong & Qian, Wei-Min, 2016. "Quantile regression for single-index-coefficient regression models," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 305-317.
  6. Han, Dongxiao & Huang, Jian & Lin, Yuanyuan & Shen, Guohao, 2022. "Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 230(2), pages 416-431.
  7. Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2013. "Uniform post selection inference for LAD regression and other z-estimation problems," CeMMAP working papers CWP74/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Umberto Amato & Anestis Antoniadis & Italia De Feis & Irene Gijbels, 2021. "Penalised robust estimators for sparse and high-dimensional linear models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 1-48, March.
  9. Yang Peng & Bin Luo & Xiaoli Gao, 2022. "Robust Moderately Clipped LASSO for Simultaneous Outlier Detection and Variable Selection," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 694-707, November.
  10. Chen, Le-Yu & Lee, Sokbae, 2023. "Sparse quantile regression," Journal of Econometrics, Elsevier, vol. 235(2), pages 2195-2217.
  11. Alexandre Belloni & Victor Chernozhukov & Ying Wei, 2016. "Post-Selection Inference for Generalized Linear Models With Many Controls," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 606-619, October.
  12. Meira, Erick & Lila, Maurício Franca & Cyrino Oliveira, Fernando Luiz, 2023. "A novel reconciliation approach for hierarchical electricity consumption forecasting based on resistant regression," Energy, Elsevier, vol. 269(C).
  13. Yuyang Liu & Pengfei Pi & Shan Luo, 2023. "A semi-parametric approach to feature selection in high-dimensional linear regression models," Computational Statistics, Springer, vol. 38(2), pages 979-1000, June.
  14. Wentao Qu & Xianchao Xiu & Huangyue Chen & Lingchen Kong, 2023. "A Survey on High-Dimensional Subspace Clustering," Mathematics, MDPI, vol. 11(2), pages 1-39, January.
  15. Lamarche, Carlos & Parker, Thomas, 2023. "Wild bootstrap inference for penalized quantile regression for longitudinal data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1799-1826.
  16. Luo, Bin & Gao, Xiaoli, 2022. "High-dimensional robust approximated M-estimators for mean regression with asymmetric data," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
  17. Qiang Li & Liming Wang, 2020. "Robust change point detection method via adaptive LAD-LASSO," Statistical Papers, Springer, vol. 61(1), pages 109-121, February.
  18. Wu, Xiaofei & Ming, Hao & Zhang, Zhimin & Cui, Zhenyu, 2024. "Multi-block alternating direction method of multipliers for ultrahigh dimensional quantile fused regression," Computational Statistics & Data Analysis, Elsevier, vol. 192(C).
  19. Xiaofei Wu & Rongmei Liang & Hu Yang, 2022. "Penalized and constrained LAD estimation in fixed and high dimension," Statistical Papers, Springer, vol. 63(1), pages 53-95, February.
  20. Xianchao Xiu & Lingchen Kong & Yan Li & Houduo Qi, 2018. "Iterative reweighted methods for $$\ell _1-\ell _p$$ ℓ 1 - ℓ p minimization," Computational Optimization and Applications, Springer, vol. 70(1), pages 201-219, May.
  21. Jianqing Fan & Quefeng Li & Yuyan Wang, 2017. "Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 247-265, January.
  22. Wen, Kaiyue & Wang, Tengyao & Wang, Yuhao, 2025. "Residual permutation test for regression coefficient testing," LSE Research Online Documents on Economics 126275, London School of Economics and Political Science, LSE Library.
  23. Li, Mei & Kong, Lingchen, 2019. "Double fused Lasso penalized LAD for matrix regression," Applied Mathematics and Computation, Elsevier, vol. 357(C), pages 119-138.
  24. Xiao, Jian & Li, Shaoting & Chen, Jun & Zhu, Wensheng, 2025. "Model-free latent confounder-adjusted feature selection with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 205(C).
  25. Fan, Jianqing & Feng, Yang & Xia, Lucy, 2020. "A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models," Journal of Econometrics, Elsevier, vol. 218(1), pages 119-139.
  26. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Oracle Estimation of a Change Point in High-Dimensional Quantile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1184-1194, July.
  27. Wang, Yibo & Karunamuni, Rohana J., 2022. "High-dimensional robust regression with Lq-loss functions," Computational Statistics & Data Analysis, Elsevier, vol. 176(C).
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