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Robust Lasso Regression Using Tukey's Biweight Criterion

Chang, Le; Roberts, Steven; Welsh, Alan


The adaptive lasso is a method for performing simultaneous parameter estimation and variable selection. The adaptive weights used in its penalty term mean that the adaptive lasso achieves the oracle property. In this work, we propose an extension of the adaptive lasso named the Tukey-lasso. By using Tukey's biweight criterion, instead of squared loss, the Tukey-lasso is resistant to outliers in both the response and covariates. Importantly, we demonstrate that the Tukey-lasso also enjoys the...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
Source: Technometrics
DOI: 10.1080/00401706.2017.1305299


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