Asymptotically Efficient Distributed Estimation With Exponential Family Statistics
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Publication:2986224
DOI10.1109/TIT.2014.2331272zbMATH Open1360.94158arXiv1301.5047OpenAlexW2962755526MaRDI QIDQ2986224FDOQ2986224
Authors: Soummya Kar, José M. F. Moura 
Publication date: 16 May 2017
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Abstract: The paper studies the problem of distributed parameter estimation in multi-agent networks with exponential family observation statistics. A certainty-equivalence type distributed estimator of the consensus + innovations form is proposed in which, at each each observation sampling epoch agents update their local parameter estimates by appropriately combining the data received from their neighbors and the locally sensed new information (innovation). Under global observability of the networked sensing model, i.e., the ability to distinguish between different instances of the parameter value based on the joint observation statistics, and mean connectivity of the inter-agent communication network, the proposed estimator is shown to yield consistent parameter estimates at each network agent. Further, it is shown that the distributed estimator is asymptotically efficient, in that, the asymptotic covariances of the agent estimates coincide with that of the optimal centralized estimator, i.e., the inverse of the centralized Fisher information rate. From a technical viewpoint, the proposed distributed estimator leads to non-Markovian mixed timescale stochastic recursions and the analytical methods developed in the paper contribute to the general theory of distributed stochastic approximation.
Full work available at URL: https://arxiv.org/abs/1301.5047
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