  In this paper, we consider robust nonparametric regression using deep neural
networks with ReLU activation function. While several existing theoretically
justified methods are geared towards robustness against identical heavy-tailed
noise distributions, the rise of adversarial attacks has emphasized the
importance of safeguarding estimation procedures against systematic
contamination. We approach this statistical issue by shifting our focus towards
estimating conditional distributions. To address it robustly, we introduce a
novel estimation procedure based on $\ell$-estimation. Under a mild model
assumption, we establish general non-asymptotic risk bounds for the resulting
estimators, showcasing their robustness against contamination, outliers, and
model misspecification. We then delve into the application of our approach
using deep ReLU neural networks. When the model is well-specified and the
regression function belongs to an $\alpha$-H\"older class, employing
$\ell$-type estimation on suitable networks enables the resulting estimators to
achieve the minimax optimal rate of convergence. Additionally, we demonstrate
that deep $\ell$-type estimators can circumvent the curse of dimensionality by
assuming the regression function closely resembles the composition of several
H\"older functions. To attain this, new deep fully-connected ReLU neural
networks have been designed to approximate this composition class. This
approximation result can be of independent interest.
