A nonasymptotic distributional theory of approximate message passing for sparse and robust regression
稀疏与稳健回归中近似消息传递的非渐近分布理论
Characterizing the distribution of high-dimensional statistical estimators is a challenging task, due to the breakdown of classical asymptotic theory in high dimension. This paper makes progress towards this by developing non-asymptotic distributional characterizations for approximate message passing (AMP)—a family of iterative algorithms that prove effective as both fast estimators and powerful theoretical machinery—for both sparse and robust regression. Prior AMP theory,…