Two-Stage Robust Sparse Gradient Methods for Regression Under Heavy-Tailed Designs

Kaiyuan Zhou; Xiaoyu Zhang; Wenyang Zhang; Di Wang

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arXiv · 2601.05669

Two-Stage Robust Sparse Gradient Methods for Regression Under Heavy-Tailed Designs

Kaiyuan Zhou·Xiaoyu Zhang·Wenyang Zhang·Di Wang

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Abstract

We study high-dimensional sparse regression under simultaneous heavy-tailed covariates and noise. Heavy-tailed data affect sparse optimization in two different ways: extreme covariates can destabilize the gradient field during global localization, while heavy-tailed noise limits the final statistical accuracy during local refinement. Motivated by this two-phase structure, we propose two-stage RIGHT, a robust sparse first-order method based on coordinate-wise median-of-means (MoM) gradient estimation and delayed sample splitting. The MoM gradient estimator is computationally simple, compatible with hard-thresholded updates, and admits phase-adaptive concentration bounds whose rates depend on the current localization radius. Delayed splitting reuses data during global localization and reserves fresh batches for the shorter refinement stage, reducing the sample-splitting cost. The theoretical results reveal a decoupled rate structure: the design-tail index controls gradient stability and sample complexity, whereas the noise-tail index controls the final statistical rate. We also provide phase-wise lower-bound benchmarks showing that the design-driven localization barrier is intrinsic. Extensive simulation experiments and real data analysis showcase the efficacy of the proposed method over existing competitors.

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BibTeX RIS

Kaiyuan Zhou, Xiaoyu Zhang, Wenyang Zhang, Di Wang. 2026-01-09. Two-Stage Robust Sparse Gradient Methods for Regression Under Heavy-Tailed Designs. https://arxiv.org/abs/2601.05669

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