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stat.ME2022
Multi-Model Subset Selection
Anthony-Alexander Christidis, Stefan Van Aelst, Ruben Zamar
The two primary approaches for high-dimensional regression problems are sparse methods (e.g., best subset selection, which uses the L0-norm in the penalty) and ensemble methods (e.…
stat.ME2022★ 1 cited
Robust graphical lasso based on multivariate Winsorization
Ginette Lafit, Francisco Nogales, Marcelo Ruiz +1
We propose the use of a robust covariance estimator based on multivariate Winsorization in the context of the Tarr-Muller-Weber framework for sparse estimation of the precision mat…