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Asymptotic linear expansion of regularized M-estimators

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  • Tino Werner

    (Carl von Ossietzky University Oldenburg)

Abstract

Parametric high-dimensional regression requires regularization terms to get interpretable models. The respective estimators correspond to regularized M-functionals which are naturally highly nonlinear. Their Gâteaux derivative, i.e., their influence curve linearizes the asymptotic bias of the estimator, but only up to a remainder term which is not guaranteed to tend (sufficiently fast) to zero uniformly on suitable tangent sets without profound arguments. We fill this gap by studying, in a unified framework, under which conditions the M-functionals corresponding to convex penalties as regularization are compactly differentiable, so that the estimators admit an asymptotically linear expansion. This key ingredient allows influence curves to reasonably enter model diagnosis and enable a fast, valid update formula, just requiring an evaluation of the corresponding influence curve at new data points. Moreover, this paves the way for optimally-robust estimators, bounding the influence curves in a suitable way.

Suggested Citation

  • Tino Werner, 2022. "Asymptotic linear expansion of regularized M-estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(1), pages 167-194, February.
    • Handle: RePEc:spr:aistmt:v:74:y:2022:i:1:d:10.1007_s10463-021-00792-5
    DOI: 10.1007/s10463-021-00792-5
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    References listed on IDEAS

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