Proposes a sparsity-plus-fusion-penalty federated estimator for tail index regression with non-asymptotic rates, oracle group recovery, ADMM solver, and debiased inference that improves on target-only methods.
arXiv preprint arXiv:2403.01318v3 , year=
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Efficient Federated Estimation and Inference for High-Dimensional Tail Index Regression
Proposes a sparsity-plus-fusion-penalty federated estimator for tail index regression with non-asymptotic rates, oracle group recovery, ADMM solver, and debiased inference that improves on target-only methods.