Efficient Computation of Sparse and Robust Maximum Association Estimators

arXiv:2311.17563v2 Announce Type: replace-cross
Abstract: Although robust statistical estimators are less affected by outlying observations, their computation is usually more challenging. This is particularly the case in high-dimensional sparse settings. The availability of new optimization procedures, mainly developed in the computer science domain, offers new possibilities for the field of robust statistics. This paper investigates how such procedures can be used for robust sparse association estimators. The problem can be split into a robust estimation step followed by an optimization …

abstract arxiv association availability case computation computer computer science domain optimization robust science stat.co statistical stat.ml type