Direct regression modelling of high-order moments in big data

作者：Xi, Ruibin; Lin, Nan^*

来源：Statistics and Its Interface, 2016, 9(4): 445-452.

DOI：10.4310/SII.2016.v9.n4.a4

• Big data
• Higher-order moment
• U-statistics
• Estimating equation
• Divide-and-conquer
• Aggregation
• Consistency
• Asymptotic normality
• Data cube

Big data problems present great challenges to statistical analyses, especially from the computational side. In this paper, we consider regression estimation of high-order moments in big data problems based on the U-statistic-based Functional Regression Model (U-FRM) model. The U-FRM model is a nonparametric method that allows direct estimation of higher-order moments without imposing parametric assumptions on the high order-moments. Despite this modeling advantage, its estimation relies on a U-statistics based estimating equation whose computational complexity is generally too high for big data. In this paper, we propose using the "divide-and-conquer" strategy to construct a computationally more succinct surrogate estimating equation. Through both theoretical proof and simulations, we show that our method significantly reduces the computational time and meanwhile enjoys the same asymptotic behavior as the original estimation method. We then apply our method to a genomic problem to illustrate its performance on real data.

• 出版日期2016
• 单位北京大学