Optimal representative sample weighting
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Publication:2058720
DOI10.1007/S11222-021-10001-1zbMATH Open1475.62017arXiv2005.09065OpenAlexW3133615935MaRDI QIDQ2058720FDOQ2058720
Authors: Yanyan Li 
Publication date: 9 December 2021
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We consider the problem of assigning weights to a set of samples or data records, with the goal of achieving a representative weighting, which happens when certain sample averages of the data are close to prescribed values. We frame the problem of finding representative sample weights as an optimization problem, which in many cases is convex and can be efficiently solved. Our formulation includes as a special case the selection of a fixed number of the samples, with equal weights, i.e., the problem of selecting a smaller representative subset of the samples. While this problem is combinatorial and not convex, heuristic methods based on convex optimization seem to perform very well. We describe rsw, an open-source implementation of the ideas described in this paper, and apply it to a skewed sample of the CDC BRFSS dataset.
Full work available at URL: https://arxiv.org/abs/2005.09065
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Computational methods for problems pertaining to statistics (62-08) Sampling theory, sample surveys (62D05)
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