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Register a new userRobustness and Tractability for Non-convex M-estimators
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Ruizhi Zhang
Publication date
2019
fields
Mathematical Statistics
and research's language is
English
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We investigate two important properties of M-estimator, namely, robustness and tractability, in linear regression setting, when the observations are contaminated by some arbitrary outliers. Specifically, robustness means the statistical property that the estimator should always be close to the underlying true parameters {em regardless of the distribution of the outliers}, and tractability indicates the computational property that the estimator can be computed efficiently, even if the objective function of the M-estimator is {em non-convex}. In this article, by learning the landscape of the empirical risk, we show that under mild conditions, many M-estimators enjoy nice robustness and tractability properties simultaneously, when the percentage of outliers is small. We further extend our analysis to the high-dimensional setting, where the number of parameters is greater than the number of samples, $p gg n$, and prove that when the proportion of outliers is small, the penalized M-estimators with {em $L_1$} penalty will enjoy robustness and tractability simultaneously. Our research provides an analytic approach to see the effects of outliers and tuning parameters on the robustness and tractability for some families of M-estimators. Simulation and case study are presented to illustrate the usefulness of our theoretical results for M-estimators under Welschs exponential squared loss.
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