Online statistical inference for parameters estimation with linear-equality constraints

DOI10.1016/J.JMVA.2022.105017MaRDI QIDQ2146461zbMATH OpenOpenAlexFDO

Authors Mingao Yuan, Zuofeng Shang, Rui Qi Liu

Publication date 16 June 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.10315

zbMATH Keywords

constrained optimizationonline inferenceprojected stochastic gradient descent algorithm

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Multivariate analysis (62Hxx) Stochastic approximation (62L20)

Recommendations

• Statistical inference for model parameters in stochastic gradient descent
• A transformation of the inequality-constrained linear model
• Online bootstrap confidence intervals for the stochastic gradient descent estimator
• Scalable statistical inference for averaged implicit stochastic gradient descent
• A unifying analysis of projected gradient descent for \(\ell_p\)-constrained least squares

Cites work

• A Stochastic Approximation Method
• A useful variant of the Davis-Kahan theorem for statisticians
• Acceleration of Stochastic Approximation by Averaging
• An averaged projected Robbins-Monro algorithm for estimating the parameters of a truncated spherical distribution
• Asymptotic Almost Sure Efficiency of Averaged Stochastic Algorithms
• Convergence of stochastic processes
• scientific article; zbMATH DE number 51379 (Why is no real title available?)
• scientific article; zbMATH DE number 3449561 (Why is no real title available?)
• Lower bounds for parametric estimation with constraints
• Maximum-Likelihood Estimation, the CramÉr–Rao Bound, and the Method of Scoring With Parameter Constraints
• New method of stochastic approximation type
• Online bootstrap confidence intervals for the stochastic gradient descent estimator
• Optimization methods for large-scale machine learning
• Robust Stochastic Approximation Approach to Stochastic Programming
• Statistical inference for model parameters in stochastic gradient descent

Cited in

(6)

• scientific article; zbMATH DE number 5633833 (Why is no real title available?)
• On‐line parameter interval estimation using recursive least squares
• scientific article; zbMATH DE number 7448496 (Why is no real title available?)
• Online bootstrap inference for the geometric median
• Convergence analysis of an online approach to parameter estimation problems based on binary observations
• Online robust estimation and bootstrap inference for function-on-scalar regression

This page was built for publication: Online statistical inference for parameters estimation with linear-equality constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2146461)