Distributed inference for quantile regression processes
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Abstract: The increased availability of massive data sets provides a unique opportunity to discover subtle patterns in their distributions, but also imposes overwhelming computational challenges. To fully utilize the information contained in big data, we propose a two-step procedure: (i) estimate conditional quantile functions at different levels in a parallel computing environment; (ii) construct a conditional quantile regression process through projection based on these estimated quantile curves. Our general quantile regression framework covers both linear models with fixed or growing dimension and series approximation models. We prove that the proposed procedure does not sacrifice any statistical inferential accuracy provided that the number of distributed computing units and quantile levels are chosen properly. In particular, a sharp upper bound for the former and a sharp lower bound for the latter are derived to capture the minimal computational cost from a statistical perspective. As an important application, the statistical inference on conditional distribution functions is considered. Moreover, we propose computationally efficient approaches to conducting inference in the distributed estimation setting described above. Those approaches directly utilize the availability of estimators from sub-samples and can be carried out at almost no additional computational cost. Simulations confirm our statistical inferential theory.
The big data sets provide a unique opportunity to discover subtle patterns in their distributions. The following method is proposed: (i) estimate the conditional quantile functions at different levels in a parallel computing environment; (ii) construct a conditional quantile regression process through projection based on these estimated quantile curves. \par The method divide-and-conquer is used: \par 1.) Divide the data with $N(x,y)$-pairs into $S$ subsamples of size $n$. 2.) Estimate the subsample based quantile regression coefficient. 3.) Each local machine sends the coefficient to the master that outputs the pooled estimator. \par As an important application, the statistical inference on conditional distribution functions is considered. Simulations confirm the considered statistical inference theory.
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