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Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity

Zhao, J; Yan, GA; Zhang, Y

Zhang, Y (corresponding author), Zhejiang Univ, Sch Math Sci, Hangzhou, Zhejiang, Peoples R China.

STATISTICAL PAPERS, ; ():

Abstract

High-dimensional data subject to heavy-tailed phenomena and heterogeneity are commonly encountered in various scientific fields and bring new challeng......

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