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Robust Lasso Regression with Student-t Residuals

version 1.0.0.0 (24.8 KB) by Statovic
Estimate robust lasso regression models with Student-t residuals

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Updated 21 May 2017

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This code implements the estimation of robust regression models using the lasso procedure. Robustness is handled by modelling the residuals as arising from a Student-t distribution with an appropriate degrees-of-freedom. The optimization is performed using the expectation-maximization algorithm.
Primary features of the code:
* Automatically produce a complete lasso regularization path for a given degrees-of-freedom
* Select amount of regularization, and the degrees-of-freedom using cross-validation or information criteria

To cite this toolbox:
Schmidt, D.F. and Makalic, E.
Robust Lasso Regression with Student-t Residuals
Lecture Notes in Artificial Intelligence, to appear, 2017

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MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux