Distributed quantile regression for longitudinal big data

Fan, Ye; Lin, Nan; Yu, Liangli

doi:10.1007/s00180-022-01318-0

Cited by 1 publication

(1 citation statement)

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“…Zhu et al [14] proposed a general distributed framework in terms of a distributed least-squares approximation(DLSA) procedure. The second category is the "iterative" approach, which involves multiple rounds of communication between the master machine and local machines to obtain a distributed estimator for approximating the global estimator(see, e.g., Jordan et al [15], Huang and Huo [16], Wang et al [17], Chen et al [18], Fan et al [19]).…”

Section: Introductionmentioning

confidence: 99%

Robust Distributed Learning under Least Squares Approximation

Zhang,

Chao,

2024

Preprint

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Massive datasets pose a serious challenge to traditional statistical methods. Modal regression has greater robustness and high inference efficiency compared to mean regression and likelihood-based methods. In this paper, we present a robust distributed least squares approximation (RDLSA) method for heterogeneously distributed massive datasets under the modal regression framework. Specifically, we first approximate the local objective function for each worker/server/machine by using the Taylor expansion, where it is necessary to remain the main quadratic term. Then, each of local machines calculate their corresponding estimates and upload them to a master machine for obtaining the approximated aggregated estimator. This process yields a one-step global estimator such that one round of communication is required. Correspondingly, the consistency and asymptotic normality of the estimator are rigorously established under some mild conditions. To further reduce the estimation bias, we perform one Newton-Raphson iteration to obtain a two-step global aggregated estimator. In addition, we develop a variable selection procedure for the distributed modal regression under the robust least squares approximation procedure. Finally, we provide simulation experiments and a real data application to verify the superiority of our method.

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