Asymptotic normality of robust M-estimators with convex penalty
Asymptotic normality of robust M-estimators with convex penalty
This paper develops asymptotic normality results for individual coordinates of robust M-estimators with convex penalty in high-dimensions, where the dimension p is at most of the same order as the sample size n, i.e, p∕n≤γ for some fixed constant γ>0. The asymptotic normality requires a bias correction and holds for …