Large-scale regression with non-convex loss and penalty

Buccini A.;De la Cruz Cabrera O.;Donatelli M.;Martinelli A.;Reichel L.

2020-01-01

---

Abstract

We describe a computational method for parameter estimation in linear regression, that is capable of simultaneously producing sparse estimates and dealing with outliers and heavy-tailed error distributions. The method used is based on the image restoration method proposed in Huang et al. (2017) [13]. It can be applied to problems of arbitrary size. The choice of certain parameters is discussed. Results obtained for simulated and real data are presented.