2014/10/30 by Tianqi Zhao, Guang Cheng, Zhao, Tianqi +3 · 3 citations
Computer Science · Mathematics · #Advanced Statistical Methods and Models #Bayesian Methods and Mixture Models #FOS: Mathematics #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.1410.8570
openalex publication_date 2014/10/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider a partially linear framework for modelling massive heterogeneous data. The major goal is to extract common features across all sub-populations while exploring heterogeneity of each sub-population. In particular, we propose an aggregation type estimator for the commonality parameter that possesses the (non-asymptotic) minimax optimal bound and asymptotic distribution as if there were no heterogeneity. This oracular result holds when the number of sub-populations does not grow too fast. A plug-in estimator for the heterogeneity parameter is further constructed, and shown to possess the asymptotic distribution as if the commonality information were available. We also test the heterogeneity among a large number of sub-populations. All the above results require to regularize each sub-estimation as though it had the entire sample size. Our general theory applies to the divide-and-conquer approach that is often used to deal with massive homogeneous data. A technical by-product of this paper is the statistical inferences for the general kernel ridge regression. Thorough numerical results are also provided to back up our theory.