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arXiv · 2008.08824

Unified Rules of Renewable Weighted Sums for Various Online Updating Estimations

Lu Lin·Weiyu Li·Jun Lu
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Abstract

This paper establishes unified frameworks of renewable weighted sums (RWS) for various online updating estimations in the models with streaming data sets. The newly defined RWS lays the foundation of online updating likelihood, online updating loss function, online updating estimating equation and so on. The idea of RWS is intuitive and heuristic, and the algorithm is computationally simple. This paper chooses nonparametric model as an exemplary setting. The RWS applies to various types of nonparametric estimators, which include but are not limited to nonparametric likelihood, quasi-likelihood and least squares. Furthermore, the method and the theory can be extended into the models with both parameter and nonparametric function. The estimation consistency and asymptotic normality of the proposed renewable estimator are established, and the oracle property is obtained. Moreover, these properties are always satisfied, without any constraint on the number of data batches, which means that the new method is adaptive to the situation where streaming data sets arrive perpetually. The behavior of the method is further illustrated by various numerical examples from simulation experiments and real data analysis.

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Lu Lin, Weiyu Li, Jun Lu. 2020-08-20. Unified Rules of Renewable Weighted Sums for Various Online Updating Estimations. https://arxiv.org/abs/2008.08824

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