regMMD: Robust Regression and Estimation Through Maximum Mean
Discrepancy Minimization
The functions in this package compute robust estimators by minimizing a kernel-based distance known as MMD (Maximum Mean Discrepancy) between the sample and a statistical model. Recent works proved that these estimators enjoy a universal consistency property, and are extremely robust to outliers. Various optimization algorithms are implemented: stochastic gradient is available for most models, but the package also allows gradient descent in a few models for which an exact formula is available for the gradient. In terms of distribution fit, a large number of continuous and discrete distributions are available: Gaussian, exponential, uniform, gamma, Poisson, geometric, etc. In terms of regression, the models available are: linear, logistic, gamma, beta and Poisson.
Alquier, P. and Gerber, M. (2024) <doi:10.1093/biomet/asad031>
Cherief-Abdellatif, B.-E. and Alquier, P. (2022) <doi:10.3150/21-BEJ1338>.
| Version: |
0.0.1 |
| Imports: |
Rdpack (≥ 0.7) |
| Published: |
2024-10-25 |
| Author: |
Pierre Alquier 
[aut, cre],
Mathieu Gerber
[aut] |
| Maintainer: |
Pierre Alquier <pierre.alquier.stat at gmail.com> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
no |
| CRAN checks: |
regMMD results |
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