Robust Adaptive Lasso method for parameter's estimation and variable selection in high-dimensional sparse models.

High dimensional data are commonly encountered in various scientific fields and pose great challenges to modern statistical analysis. To address this issue different penalized regression procedures have been introduced in the litrature, but these methods cannot cope with the problem of outliers and leverage points in the heavy tailed high dimensional data. For this purppose, a new Robust Adaptive Lasso (RAL) method is proposed which is based on pearson residuals weighting scheme.