To perform regression analysis in high dimensions, lasso or ridge estimation
are a common choice. However, it has been shown that these methods are not
robust to outliers. Therefore, alternatives as penalized M-estimation or the
sparse least trimmed squares (LTS) estimator have been proposed. The robustness
of these regression methods can be measured with the influence function. It
quantifies the effect of infinitesimal perturbations in the data. Furthermore
it can be used to compute the asymptotic variance and the mean squared error.
In this paper we compute the influence function, the asymptotic variance and
the mean squared error for penalized M-estimators and the sparse LTS estimator.
The asymptotic biasedness of the estimators make the calculations nonstandard.
We show that only M-estimators with a loss function with a bounded derivative
are robust against regression outliers. In particular, the lasso has an
unbounded influence function.Comment: appears in Statistics: A Journal of Theoretical and Applied
Statistics, 201