Robust estimation in regression and classification methods for large dimensional data

Statistical data analysis and machine learning heavily rely on error measures for regression, classification, and forecasting. Bregman divergence (BD) is a widely used family of error measures, but it is not robust to outlying observations or high leverage points in large- and high-dimensional datasets. In this paper, we propose a new family of robust Bregman divergences called “robust- BD ” that are less sensitive to data outliers. We explore their suitability for sparse large-dimensional regression models with incompletely specified response variable distributions and propose a new estimate called the “penalized robust- BD estimate” that achieves the same oracle property as ordinary non-robust penalized least-squares and penalized-likelihood estimates. We conduct extensive numerical experiments to evaluate the performance of the proposed penalized robust- BD estimate and compare it with classical approaches, and show that our proposed method improves on existing approaches. Finally, we analyze a real dataset to illustrate the practicality of our proposed method. Our findings suggest that the proposed method can be a useful tool for robust statistical data analysis and machine learning in the presence of outliers and large-dimensional data.