Confidence Intervals for Maximin Effects in Inhomogeneous Large-Scale Data

DOI10.1007/978-3-319-27099-9_12MaRDI QIDQ2956753zbMATH OpenOpenAlexFDO

Authors Dominik Rothenhäusler, Nicolai Meinshausen, Peter Bühlmann

Publication date 19 January 2017

Published in Statistical Analysis for High-Dimensional Data (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.07963

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05)

Abstract: One challenge of large-scale data analysis is that the assumption of an identical distribution for all samples is often not realistic. An optimal linear regression might, for example, be markedly different for distinct groups of the data. Maximin effects have been proposed as a computationally attractive way to estimate effects that are common across all data without fitting a mixture distribution explicitly. So far just point estimators of the common maximin effects have been proposed in Meinshausen and B"uhlmann (2014). Here we propose asymptotically valid confidence regions for these effects.

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Cited in

(6)

• Maximin effects in inhomogeneous large-scale data
• Statistical Inference for Maximin Effects: Identifying Stable Associations across Multiple Studies
• Non parametric maximin aggregation for data with inhomogeneity
• Robust Inference for Federated Meta-Learning
• Distributionally robust learning for multisource unsupervised domain adaptation
• Learning models with uniform performance via distributionally robust optimization

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