Robust and Sparse Generalized Linear Models for High-Dimensional Data via Maximum Mean Discrepancy
基于最大均值差异的高维广义线性模型稳健稀疏估计
High-dimensional datasets are frequently subject to contamination by outliers and heavy-tailed noise, which can severely bias standard regularized estimators like the Lasso. While Maximum Mean Discrepancy (MMD) has recently been introduced as a ``universal'' framework for robust regression, its application to high-dimensional Generalized Linear Models (GLMs) remains largely unexplored, particularly regarding variable selection. In this paper, we propose a penalized MMD…