Retire: Robust Expectile Regression in High Dimensions

no code implementations • 11 Dec 2022 • Rebeka Man, Kean Ming Tan, Zian Wang, Wen-Xin Zhou

In this paper, we propose and study (penalized) robust expectile regression (retire), with a focus on iteratively reweighted $\ell_1$-penalization which reduces the estimation bias from $\ell_1$-penalization and leads to oracle properties.

regression Vocal Bursts Intensity Prediction