Corpus ID: 44070829

High Dimensional Robust Sparse Regression

@inproceedings{Liu2020HighDR,
  title={High Dimensional Robust Sparse Regression},
  author={L. Liu and Yanyao Shen and Tianyang Li and C. Caramanis},
  booktitle={AISTATS},
  year={2020}
}

L. Liu, Yanyao Shen, +1 author C. Caramanis

Published in AISTATS 2020

Computer Science, Mathematics

We provide a novel -- and to the best of our knowledge, the first -- algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse parameters with sub-linear sample complexity, in the presence of a constant fraction of arbitrary corruptions. Our main contribution is a robust variant of Iterative Hard Thresholding. Using this, we provide accurate estimators: when the covariance matrix in… CONTINUE READING

View PDF on arXiv

Save to Library

Create Alert

Cite

Launch Research Feed