Robust regression with covariate filtering: Heavy tails and adversarial contamination
Robust regression with covariate filtering: Heavy tails and adversarial contamination
We study the problem of linear regression where both covariates and responses are potentially (i) heavy-tailed and (ii) adversarially contaminated. Several computationally efficient estimators have been proposed for the simpler setting where the covariates are sub-Gaussian and uncontaminated; however, these estimators may fail when the covariates are either heavy-tailed or …