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Quasi-likelihood and/or robust estimation in high dimensions. (English) Zbl 1331.62354

Summary: We consider the theory for the high-dimensional generalized linear model with the Lasso. After a short review on theoretical results in literature, we present an extension of the oracle results to the case of quasi-likelihood loss. We prove bounds for the prediction error and \(\ell_{1}\)-error. The results are derived under fourth moment conditions on the error distribution. The case of robust loss is also given. We moreover show that under an irrepresentable condition, the \(\ell_{1}\)-penalized quasi-likelihood estimator has no false positives.

MSC:

62J07 Ridge regression; shrinkage estimators (Lasso)
62J12 Generalized linear models (logistic models)

Software:

glmnet
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References:

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