Fast moment-based estimation for hierarchical models

DOI10.1111/RSSB.12165MaRDI QIDQ5378164zbMATH OpenOpenAlexFDO

Authors Patrick O. Perry

Publication date 12 June 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.04941

zbMATH Keywords

hierarchical modelrecommender systemsgeneralized inner mixed modelstatistical-computational trade-off

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12) Empirical decision procedures; empirical Bayes procedures (62C12)

Abstract: Hierarchical models allow for heterogeneous behaviours in a population while simultaneously borrowing estimation strength across all subpopulations. Unfortunately, existing likelihood-based methods for fitting hierarchical models have high computational demands, and these demands have limited their adoption in large-scale prediction and inference problems. This paper proposes a moment-based procedure for estimating the parameters of a hierarchical model which has its roots in a method originally introduced by Cochran in 1937. The method trades statistical efficiency for computational efficiency. It gives consistent parameter estimates, competitive prediction error performance, and substantial computational improvements. When applied to a large-scale recommender system application and compared to a standard maximum likelihood procedure, the method delivers competitive prediction performance while reducing the sequential computation time from hours to minutes.

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(13)

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• Distributed Bayesian Inference in Linear Mixed-Effects Models
• Additive and multiplicative effects network models
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• Properties of h‐Likelihood Estimators in Clustered Data
• A regression tree method for longitudinal and clustered data with multivariate responses
• Fitting a deeply nested hierarchical model to a large book review dataset using a moment-based estimator
• Sufficiency Revisited: Rethinking Statistical Algorithms in the Big Data Era

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