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arXiv · 2301.02448

Optimal subsampling algorithm for composite quantile regression with distributed data

Xiaohui Yuan·Shiting Zhou·Yue Wang
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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 through numerical experiments on simulated and real datasets.

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Xiaohui Yuan, Shiting Zhou, Yue Wang. 2023-01-06. Optimal subsampling algorithm for composite quantile regression with distributed data. https://arxiv.org/abs/2301.02448

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