Precise Asymptotics for Dense High-Dimensional Huber Regression under Heteroscedasticity

Jing Zhou, Ramji Venkataramanan, Hui Zou

We study Huber regression in a heteroscedastic linear model in the proportional regime $n/p\to \delta \in (1,\infty )$. Our main result is an exact characterization of the asymptotic em…