Online estimation of individual-level effects using streaming shrinkage factors

DOI10.1016/J.CSDA.2019.01.010MaRDI QIDQ2416768zbMATH OpenOpenAlexFDO

Authors L. Ippel, Maurits Kaptein, Jeroen K. Vermunt

Publication date 24 May 2019

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2019.01.010

zbMATH Keywords

data streamsJames-Stein estimatornested dataonline learningshrinkage factors

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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Cites work

• A comparison of estimation methods for multilevel logistic models
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• A simple generalisation of the area under the ROC curve for multiple class classification problems
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• Estimating random-intercept models on data streams
• Estimation with quadratic loss.
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• In-season prediction of batting averages: a field test of empirical Bayes and Bayes methodol\-ogies
• Large-scale machine learning with stochastic gradient descent
• Multilevel mixed linear model analysis using iterative generalized least squares
• Numerically stable, scalable formulas for parallel and online computation of higher-order multivariate central moments with arbitrary weights
• Shrinkage estimation in multilevel normal models
• Tracking concept drift using a constrained penalized regression combiner
• Weighted random sampling with a reservoir

Cited in

(2)

• Estimating random-intercept models on data streams
• Estimating multilevel models on data streams

Describes a project that uses

Uses Software

• GLLAMM
• lme4
• Stata
• HandTill2001

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