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arXiv · 2304.13793

Generalized generalized linear models: Convex estimation and online bounds

Anatoli Juditsky·Arkadi Nemirovski·Yao Xie·Chen Xu
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Abstract

We introduce a new computational framework for estimating parameters in generalized generalized linear models (GGLM), a class of models that extends the popular generalized linear models (GLM) to account for dependencies among observations in spatio-temporal data. The proposed approach uses a monotone operator-based variational inequality method to overcome non-convexity in parameter estimation and provide guarantees for parameter recovery. The results can be applied to GLM and GGLM, focusing on spatio-temporal models. We also present online instance-based bounds using martingale concentrations inequalities. Finally, we demonstrate the performance of the algorithm using numerical simulations and a real data example for wildfire incidents.

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Anatoli Juditsky, Arkadi Nemirovski, Yao Xie, Chen Xu. 2023-04-26. Generalized generalized linear models: Convex estimation and online bounds. https://arxiv.org/abs/2304.13793

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