The Adaptive $\tau$-Lasso: Robustness and Oracle Properties

This paper introduces a new regularized version of the robust τ-regression estimator for analyzing high-dimensional datasets subject to gross contamination in the response variables and covariates (explanatory variables). The resulting estimator, termed adaptive τ-Lasso, is robust to outliers and high-leverage points. It also incorporates an adaptive <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">l</i><sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub>-norm penalty term, which enables the selection of relevant variables and reduces the bias associated with large true regression coefficients. More specifically, this adaptive <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">l</i><sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub>-norm penalty term assigns a weight to each regression coefficient. For a fixed number of predictors <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">p</i>, we show that the adaptive τ-Lasso has the oracle property, ensuring both variable-selection consistency and asymptotic normality under fairly mild conditions. Asymptotic normality applies only to the entries of the regression vector corresponding to the true support, assuming knowledge of the true regression vector support. We characterize its robustness by establishing the finite-sample breakdown point and the influence function. We carry out extensive simulations and observe that the class of τ-Lasso estimators exhibits robustness and reliable performance in both contaminated and uncontaminated data settings. We also validate our theoretical findings on robustness properties through simulations. In the face of outliers and high-leverage points, the adaptive τ-Lasso and τ-Lasso estimators achieve the best performance or match the best performances of competing regularized estimators, with minimal or no loss in terms of prediction and variable selection accuracy for almost all scenarios considered in this study. Therefore, the adaptive τ-Lasso and τ-Lasso estimators provide attractive tools for a variety of sparse linear regression problems, particularly in high-dimensional settings and when the data is contaminated by outliers and high-leverage points. However, it is worth noting that no particular estimator uniformly dominates others in all considered scenarios