Renewable composite quantile method and algorithm for nonparametric models with streaming data
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Publication:6190664
DOI10.1007/S11222-023-10352-XzbMATH Open1529.62013arXiv2209.12739OpenAlexW4388750914MaRDI QIDQ6190664FDOQ6190664
Authors:
Publication date: 6 February 2024
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We are interested in renewable estimations and algorithms for nonparametric models with streaming data. In our method, the nonparametric function of interest is expressed through a functional depending on a weight function and a conditional distribution function (CDF). The CDF is estimated by renewable kernel estimations combined with function interpolations, based on which we propose the method of renewable weighted composite quantile regression (WCQR). Then we fully use the model structure and obtain new selectors for the weight function, such that the WCQR can achieve asymptotic unbiasness when estimating specific functions in the model. We also propose practical bandwidth selectors for streaming data and find the optimal weight function minimizing the asymptotic variance. The asymptotical results show that our estimator is almost equivalent to the oracle estimator obtained from the entire data together. Besides, our method also enjoys adaptiveness to error distributions, robustness to outliers, and efficiency in both estimation and computation. Simulation studies and real data analyses further confirm our theoretical findings.
Full work available at URL: https://arxiv.org/abs/2209.12739
nonparametric regressionstreaming datacomposite quantile regressionpolynomial interpolationrenewable algorithm
Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08)
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