Rank-Based Sparse Regression in Principal Components Space under Measurement Error

Abstract

We study high-dimensional regression in principal components space when the predictors are observed with additive measurement error and the response errors may be heavy-tailed. The starting point is the ${\ell }_1$-penalized principal-components estimator of Song and Zou (2026), which enjoys a blessing-of-dimensionality phenomenon under predictor contamination but senstive for heavy-tailed data or outliers. We replace the squared loss by a Wilcoxon-type rank loss and then apply a one-step adaptive reweighting scheme to reduce the shrinkage bias of the initial ${\ell }_1$ fit. The resulting procedure combines robustness to heavy-tailed response errors with the contamination geometry induced by the empirical principal-components basis. Our main theorem gives a prediction bound for the fixed-$\hat{I}»$ second-stage fitted mean. Simulations show that the rank-based procedure is competitive under Gaussian noise and substantially more stable under heavy-tailed errors, especially when predictor contamination is present.