Corpus ID: 44070829

High Dimensional Robust Sparse Regression

  title={High Dimensional Robust Sparse Regression},
  author={L. Liu and Yanyao Shen and Tianyang Li and C. Caramanis},
  • 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
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