Poster
Outlier-robust estimation of a sparse linear model using $\ell_1$-penalized Huber's $M$-estimator
Arnak Dalalyan · Philip Thompson
East Exhibition Hall B, C #20
Keywords: [ Algorithms ] [ Sparsity and Compressed Sensing ] [ Frequentist Statistics ] [ Theory ]
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Abstract
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Abstract:
We study the problem of estimating a $p$-dimensional
$s$-sparse vector in a linear model with Gaussian design.
In the case where the labels are contaminated by at most
$o$ adversarial outliers, we prove that the $\ell_1$-penalized
Huber's $M$-estimator based on $n$ samples attains the
optimal rate of convergence $(s/n)^{1/2} + (o/n)$, up to a
logarithmic factor. For more general design matrices, our results
highlight the importance of two properties: the transfer principle
and the incoherence property. These properties with suitable
constants are shown to yield the optimal rates of robust
estimation with adversarial contamination.
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