An integrated perspective of robustness in regression through the lens of the bias-variance trade-off

Abstract

This paper presents an integrated perspective on robustness in regression. Specifically, we examine the relationship between traditional outlier-resistant robust estimation and robust optimization, which focuses on parameter estimation resistant to imaginary dataset-perturbations. While both are commonly regarded as robust methods, these concepts demonstrate a bias-variance trade-off, indicating that they follow roughly converse strategies.