2023
DOI: 10.48550/arxiv.2301.02448
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Optimal subsampling algorithm for composite quantile regression with distributed data

Abstract: For massive data stored at multiple machines, we propose a distributed subsampling procedure for the composite quantile regression. By establishing the consistency and asymptotic normality of the composite quantile regression estimator from a general subsampling algorithm, we derive the optimal subsampling probabilities and the optimal allocation sizes under the L-optimality criteria. A two-step algorithm to approximate the optimal subsampling procedure is developed. The proposed methods are illustrated throug… Show more

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