Yang, Hu; Guo, Chaohui; Lv, Jing - In: Journal of Multivariate Analysis 133 (2015) C, pp. 321-333
In this paper, we study the robust variable selection and estimation based on rank regression and SCAD penalty function in linear regression models when the number of parameters diverges with the sample size increasing. The proposed method is resistant to heavy-tailed errors or outliers in the...