adaHuber-package {adaHuber}

adaHuber: Adaptive Huber Estimation and Regression

Description

Huber-type robust estimation for mean, covariance and (penalized) regression.

Author(s)

Xiaoou Pan <[e-mail]> and Wen-Xin Zhou <[e-mail]>

References

Ke, Y., Minsker, S., Ren, Z., Sun, Q. and Zhou, W.-X. (2019). User-friendly covariance estimation for heavy-tailed distributions. Statis. Sci., 34, 454-471.

Pan, X., Sun, Q. and Zhou, W.-X. (2021). Iteratively reweighted l1-penalized robust regression. Electron. J. Stat., 15, 3287-3348.

Sun, Q., Zhou, W.-X. and Fan, J. (2020). Adaptive Huber regression. J. Amer. Stat. Assoc., 115, 254-265.

Wang, L., Zheng, C., Zhou, W. and Zhou, W.-X. (2021). A new principle for tuning-free Huber regression. Stat. Sinica, 31, 2153-2177.