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Precise Asymptotics for Dense High-Dimensional Huber Regression under Heteroscedasticity
We study Huber regression in a heteroscedastic linear model in the proportional regime $n/p \to δ\in (1, \infty)$. Our main result is an exact characterization of the asymptotic empirical distribution of the Huber estimator. This characterization is in terms of three scalar parameters which determin
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