I have a couple of question regarding robust regression with M-estimators, such as Huber estimator or Tukey biweight estimator:
- Is it possible/common to combine these with regularization terms, such as those used in ridge and lasso regression?
- Given that M-estimators originate from maximum likelihood, do they occur in bayesian framework? (and how)
Both extensions seem obvious to me, but searching the internet for either produced surprisingly few hits, so I expect that there are some caveats.