Search Results for author:
Found 1 papers, 0 papers with code
Optimal convex $M$-estimation via score matching
As an example of a non-log-concave setting, for Cauchy errors, the optimal convex loss function is Huber-like, and our procedure yields an asymptotic efficiency greater than 0. 87 relative to the oracle maximum likelihood estimator of the regression coefficients that uses knowledge of this error distribution; in this sense, we obtain robustness without sacrificing much efficiency.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
