Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars
| | Speaker: | Haili Zhang，Southern University of Science and Technology
| | Inviter: | | Title:
| A Fast Distributed Screening for High-dimensional Linear Quantile Regression | Time & Venue:
| 2021.12.12 19:00-20:00 腾讯会议:34241285354 | Abstract:
| We study variable selection using the screening method for distributed high dimensional regression with large sample size n under a limited memory constraint, where the memory of one machine can only store a subset of data. This is a much needed research problem to be solved in the big data era. A naive divide-and-conquer method solving this problem is to split the whole data into N parts and run each part on one of N machines, aggregate the results from all machines via averaging, and finally obtain the selected variables. However, it tends to select more noise variables, and the false discovery rate may not be well controlled. We improve it by proposing a new cumulative sum chart monitoring algorithm for distributed high dimensional quantile regression. Theoretically, we establish asymptotic properties of our estimator for the screening method with a diverging number of parameters. Under some regularity conditions we establish oracle properties in the sense that our distributed estimator shares the same asymptotic efficiency as the estimator based on the full sample. Computationally, a distributed data-driven screening algorithm is proposed to data with heavy-tailed errors. Simulations and a real example demonstrate nice performance of our proposed distributed procedure.
| |
| |
优惠券领取后72小时内有效，10万种最新考研考试考证类电子打印资料任你选。涵盖全国500余所院校考研专业课、200多种职业资格考试、1100多种经典教材，产品类型包含电子书、题库、全套资料以及视频，无论您是考研复习、考证刷题，还是考前冲刺等，不同类型的产品可满足您学习上的不同需求。 ...考试优惠券 本站小编 Free壹佰分学习网 2022-09-19