A Sharper Computational Tool for L2E Regression

Building on previous research of Chi and Chi, this article revisits estimation in robust structured regression under the L2E criterion. We adopt the majorization-minimization (MM) principle to design a new algorithm for updating the vector of regression coefficients. Our sharp majorization achieves faster convergence than the previous alternating proximal gradient descent algorithm by Chi and Chi. In addition, we reparameterize the model by substituting precision for scale and estimate precision via a modified Newton's method. This simplifies and accelerates overall estimation. We also introduce distance-to-set penalties to enable constrained estimation under nonconvex constraint sets. This tactic also improves performance in coefficient estimation and structure recovery. Finally, we demonstrate the merits of our improved tactics through a rich set of simulation examples and a real data application.

Automated summary

Building on previous research, this article focuses on estimation in robust structured regression under the L2E criterion. The authors propose a new algorithm for updating the regression coefficients using the majorization-minimization (MM) principle, which achieves faster convergence compared to the existing method. They also simplify and accelerate the estimation process by reparameterizing the model and estimating precision using a modified Newton's method. Additionally, the authors introduce distance-to-set penalties for constrained estimation, resulting in improved performance in coefficient estimation and structure recovery. The proposed tactics are validated through simulation examples and a real data application.