Asymptotic linear expansion of regularized M-estimators

Abstract

Parametric high-dimensional regression analysis requires the usage of regularization terms to get interpretable models. The respective estimators can be regarded as regularized M-functionals which are naturally highly nonlinear. We study under which conditions these M-functionals are compactly differentiable, so that the corresponding estimators admit an asymptotically linear expansion. In a one-step construction, for a suitably consistent starting estimator, this linearization replaces solving optimization problems by evaluating the corresponding influence curves at the given data points. We show under which conditions the asymptotic linear expansion is valid and provide concrete examples of machine learning algorithms that fit into this framework.