A Partially Linear Framework for Massive Heterogeneous Data

Tianqi Zhao; Guang Cheng; Han Liu

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arXiv · 1410.8570

A Partially Linear Framework for Massive Heterogeneous Data

Tianqi Zhao·Guang Cheng·Han Liu

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Abstract

We consider a partially linear framework for modelling massive heterogeneous data. The major goal is to extract common features across all sub-populations while exploring heterogeneity of each sub-population. In particular, we propose an aggregation type estimator for the commonality parameter that possesses the (non-asymptotic) minimax optimal bound and asymptotic distribution as if there were no heterogeneity. This oracular result holds when the number of sub-populations does not grow too fast. A plug-in estimator for the heterogeneity parameter is further constructed, and shown to possess the asymptotic distribution as if the commonality information were available. We also test the heterogeneity among a large number of sub-populations. All the above results require to regularize each sub-estimation as though it had the entire sample size. Our general theory applies to the divide-and-conquer approach that is often used to deal with massive homogeneous data. A technical by-product of this paper is the statistical inferences for the general kernel ridge regression. Thorough numerical results are also provided to back up our theory.

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Tianqi Zhao, Guang Cheng, Han Liu. 2014-10-30. A Partially Linear Framework for Massive Heterogeneous Data. https://arxiv.org/abs/1410.8570

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