Heavy Lasso replaces the squared loss in Lasso with a Student-t log-likelihood, giving a robust estimator with near-Huber rates.
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Heavy Lasso: sparse penalized regression under heavy-tailed noise via data-augmented soft-thresholding
Heavy Lasso replaces the squared loss in Lasso with a Student-t log-likelihood, giving a robust estimator with near-Huber rates.