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A half century ago, Huber evaluated the minimax asymptotic variance in scalar location estimation, $ \min_\psi \max_{F \in {\cal F}_\epsilon} V(\psi, F) = \frac{1}{I(F_\epsilon^*)} $, where $V(\psi,F)$ denotes the asymptotic variance of the $(M)$-estimator for location with score function $\psi$, and $I(F_\epsilon^*)$ is the minimal Fisher information $ \min_{{\cal F}_\epsilon} I(F)$ over the class of $\epsilon$-Contaminated Normal distributions.
P.J. Huber, Robust estimation of a location parameter , The Annals of Mathematical Statistics 35
1964
Earlier work this paper cites.
Peter J Huber, Robust regression: asymptotics, conjectures and Monte Carlo , The Annals of Statistics 1
1973
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Peter Bloomfield, On the distribution of residuals from a fitted linear model , Princeton Department of Statistics Technical Report 56, 1974
1974
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Frank R Hampel, The influence curve and its role in robust estimation , Journal of the American Statistical Association 69
1974
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David L Donoho and Peter J Huber, The notion of breakdown point , A Festschrift for Erich L. Lehmann (1983), 157–184
1983
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Stephen Portnoy, Asymptotic behavior of M-estimators of p p regression parameters when p 2 / n p^{2}/n is large. I. Consistency , The Annals of Statistics (1984), 1298–1309
1984
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Cuthbert Daniel and Fred S Wood, Fitting equations to data: computer analysis of multifactor data , John Wiley & Sons, Inc., 1999
1999
Cited alongside, same era.
Emmanuel Candes and Terence Tao, The Dantzig selector: Statistical estimation when p is much larger than n , The Annals of Statistics (2007), 2313–2351
2007
Cited alongside, same era.
P. J. Bickel, Y. Ritov, and A. B. Tsybakov, Simultaneous analysis of Lasso and Dantzig selector , Annals of Statistics 37
2009
Cited alongside, same era.
Peter J Huber and Elvezio M Ronchetti, Robust statistics , Wiley, 2009
2009
Cited alongside, same era.
V. Serdobolskii, Multivariate statistical analysis: A high-dimensional approach , Kluwer Academic Publishers, 2010
2010
Cited alongside, same era.
Peter Bühlmann and Sara van de Geer, Statistics for high-dimensional data , Springer-Verlag, 2011
2011
Later among the works it cites.
Derek Bean, Peter J Bickel, Noureddine El Karoui, and Bin Yu, Optimal M-estimation in high-dimensional regression , Proceedings of the National Academy of Sciences 110
2013
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2013
Later among the works it cites.
Noureddine El Karoui, Derek Bean, Peter J Bickel, and Bin Lim, Chingwayand Yu, On robust regression with high-dimensional predictors , Proceedings of the National Academy of Sciences 110
2013
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2013
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