Robust Multivariate Lasso Regression with Covariance Estimation.
Le ChangAlan H. WelshPublished in: J. Comput. Graph. Stat. (2023)
Keyphrases
- robust regression
- regression model
- linear regression
- robust estimation
- generalized linear models
- ridge regression
- model selection
- least squares
- multivariate gaussian distribution
- nonparametric regression
- ordinary least squares
- group lasso
- regularized regression
- regression coefficients
- cross validation
- orientation estimation
- semi parametric
- estimation error
- variable selection
- density estimation
- learning algorithm