SGDinference

CRANSGDinferenceMaRDI QIDQ5980025

Inference with Stochastic Gradient Descent

Sokbae Lee, Yuan Liao, Myung Hwan Seo, Youngki Shin

Last update: 16 November 2023

Software version identifier: 0.1.0

Copyright license: GNU General Public License, version 3.0

Description

Estimation and inference methods for large-scale mean and quantile regression models via stochastic (sub-)gradient descent (S-subGD) algorithms. The inference procedure handles cross-sectional data sequentially: (i) updating the parameter estimate with each incoming "new observation", (ii) aggregating it as a Polyak-Ruppert average, and (iii) computing an asymptotically pivotal statistic for inference through random scaling. The methodology used in the 'SGDinference' package is described in detail in the following papers: (i) Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2022) <doi:10.1609/aaai.v36i7.20701> "Fast and robust online inference with stochastic gradient descent via random scaling". (ii) Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2023) <arXiv:2209.14502> "Fast Inference for Quantile Regression with Tens of Millions of Observations".

Cites work

• Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling
• Fast Inference for Quantile Regression with Tens of Millions of Observations