Robust and Sparse Regression via γ-Divergence
Robust and Sparse Regression via γ-Divergence
In high-dimensional data, many sparse regression methods have been proposed. However, they may not be robust against outliers. Recently, the use of density power weight has been studied for robust parameter estimation and the corresponding divergences have been discussed. One of such divergences is the $\gamma$-divergence and the robust estimator …