Distributing a computationally intensive estimator: the case of exact LMS regression (Q1965947): Difference between revisions
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Latest revision as of 06:24, 5 March 2024
scientific article
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English | Distributing a computationally intensive estimator: the case of exact LMS regression |
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Distributing a computationally intensive estimator: the case of exact LMS regression (English)
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2 March 2000
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Consider the usual linear regression model \(y_{i}=x'_{i}\beta+\varepsilon_{i}\), \(i=1,\dots,n\), where \(\beta\) is an unknown vector-valued parameter and \(\varepsilon_{i}\) are unknown errors. The least median of squares estimator \(\hat \beta_{LMS}\) is defined as \[ \underset\beta{\text{Arg min}} \underset{1\leq i\leq n}{\text{Median}} (y_{i}-x'_{i}\beta)^{2}. \] A set of Fortran subroutines for determining the exact \(\hat\beta_{LMS}\) is presented. Details are given for distributing the computations. Implementation of this algorithm for a network of computers is discussed. The proposed distribution techniques can be directly applied to any estimator whose calculation is based on repeated subsampling from the data.
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distributed architecture
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least median of squares
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parallel architecture
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