HDSI Seminar Series: A Modern Take on Huber Regression by Po Ling Loh
HDSI Seminar Series: A Modern Take on Huber Regression by Po Ling Loh
Title: A modern take on Huber regression Abstract: In the first part of the talk, we discuss the use of a penalized Huber M-estimator for high-dimensional linear regression. We explain how a fairly straightforward analysis yields high-probability error bounds that hold even when the additive errors are heavy-tailed. However, the parameter governing the shape of […]