Distributed simultaneous inference in generalized linear models via confidence distribution
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Publication:2293540
DOI10.1016/J.JMVA.2019.104567zbMATH Open1436.62357arXiv1611.06208OpenAlexW2990683072WikidataQ99629400 ScholiaQ99629400MaRDI QIDQ2293540FDOQ2293540
Authors: Lu Tang, Ling Zhou, Peter X.-K. Song 
Publication date: 5 February 2020
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: We propose a distributed method for simultaneous inference for datasets with sample size much larger than the number of covariates, i.e., N >> p, in the generalized linear models framework. When such datasets are too big to be analyzed entirely by a single centralized computer, or when datasets are already stored in distributed database systems, the strategy of divide-and-combine has been the method of choice for scalability. Due to partition, the sub-dataset sample sizes may be uneven and some possibly close to p, which calls for regularization techniques to improve numerical stability. However, there is a lack of clear theoretical justification and practical guidelines to combine results obtained from separate regularized estimators, especially when the final objective is simultaneous inference for a group of regression parameters. In this paper, we develop a strategy to combine bias-corrected lasso-type estimates by using confidence distributions. We show that the resulting combined estimator achieves the same estimation efficiency as that of the maximum likelihood estimator using the centralized data. As demonstrated by simulated and real data examples, our divide-and-combine method yields nearly identical inference as the centralized benchmark.
Full work available at URL: https://arxiv.org/abs/1611.06208
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Statistical aspects of big data and data science (62R07) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)
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