截尾分位数回归过程的可扩展估计与推理

Xuming He, Xiaoou Pan, Kean Ming Tan, Wen-Xin Zhou
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引用次数: 4

摘要

截尾分位数回归(CQR)已成为研究可能截尾结果与一组协变量之间异质性关联的一种有价值的工具,但对于具有许多协变量的大规模数据,截尾分位数回归的计算和统计推断仍然是一个挑战。在本文中,我们重点研究了一种基于平滑鞅的序列估计方程方法,该方法可以应用基于可扩展梯度的算法。从理论上讲,我们提供了平滑序列估计量和惩罚序列估计量在增加维数上的统一分析。当协变量维度随样本量以次线性速率增长时,我们建立了一致收敛速率(在分位数指标范围内),并为乘数自举推理过程的有效性提供了严格的证明。在高维稀疏设置中,我们的结果通过放松稀疏度的指数项大大改进了现有的CQR工作。我们还通过模拟实验和数据应用证明了平滑CQR相对于现有方法的优势。
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Scalable estimation and inference for censored quantile regression process
Censored quantile regression (CQR) has become a valuable tool to study the heterogeneous association between a possibly censored outcome and a set of covariates, yet computation and statistical inference for CQR have remained a challenge for large-scale data with many covariates. In this paper, we focus on a smoothed martingale-based sequential estimating equations approach, to which scalable gradient-based algorithms can be applied. Theoretically, we provide a unified analysis of the smoothed sequential estimator and its penalized counterpart in increasing dimensions. When the covariate dimension grows with the sample size at a sublinear rate, we establish the uniform convergence rate (over a range of quantile indexes) and provide a rigorous justification for the validity of a multiplier bootstrap procedure for inference. In high-dimensional sparse settings, our results considerably improve the existing work on CQR by relaxing an exponential term of sparsity. We also demonstrate the advantage of the smoothed CQR over existing methods with both simulated experiments and data applications.
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