Dataset Information

Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions.

ABSTRACT: Data subject to heavy-tailed errors are commonly encountered in various scientific fields. To address this problem, procedures based on quantile regression and Least Absolute Deviation (LAD) regression have been developed in recent years. These methods essentially estimate the conditional median (or quantile) function. They can be very different from the conditional mean functions, especially when distributions are asymmetric and heteroscedastic. How can we efficiently estimate the mean regression functions in ultra-high dimensional setting with existence of only the second moment? To solve this problem, we propose a penalized Huber loss with diverging parameter to reduce biases created by the traditional Huber loss. Such a penalized robust approximate quadratic (RA-quadratic) loss will be called RA-Lasso. In the ultra-high dimensional setting, where the dimensionality can grow exponentially with the sample size, our results reveal that the RA-lasso estimator produces a consistent estimator at the same rate as the optimal rate under the light-tail situation. We further study the computational convergence of RA-Lasso and show that the composite gradient descent algorithm indeed produces a solution that admits the same optimal rate after sufficient iterations. As a byproduct, we also establish the concentration inequality for estimating population mean when there exists only the second moment. We compare RA-Lasso with other regularized robust estimators based on quantile regression and LAD regression. Extensive simulation studies demonstrate the satisfactory finite-sample performance of RA-Lasso.

SUBMITTER: Fan J

PROVIDER: S-EPMC5412601 | biostudies-literature | 2017 Jan

REPOSITORIES: biostudies-literature

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Publications

Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions.

Fan Jianqing J Li Quefeng Q Wang Yuyan Y

Journal of the Royal Statistical Society. Series B, Statistical methodology 20160414 1

Data subject to heavy-tailed errors are commonly encountered in various scientific fields. To address this problem, procedures based on quantile regression and Least Absolute Deviation (LAD) regression have been developed in recent years. These methods essentially estimate the conditional median (or quantile) function. They can be very different from the conditional mean functions, especially when distributions are asymmetric and heteroscedastic. How can we efficiently estimate the mean regressi ...[more]

PMID: 28479862

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Project description:The regression relationship between water discharge rates and nutrient concentrations can provide a quick and straightforward way to estimate nutrient loads. However, recent studies indicated that the relationship might produce large biases in load estimates and, therefore, may not be applicable in certain types of cases. The goal of this study is to explore the theoretical reasons behind the selective applicability of the regression relationship between flow rates and nitrate + nitrite concentrations. For this study, we examined daily flow and nitrate + nitrite concentration observations made at the outlets of 22 watersheds monitored by the Heidelberg Tributary Loading Program (HTLP). The statistical relationship between the flow rates and concentrations was explored using regression equations offered by the LOAD ESTimator (LOADEST). Results demonstrated that the use of the regression equations provided nitrate + nitrite load estimates at acceptable accuracy levels (NSE≥0.35 and |PBIAS|≤30.0%) in 14 watersheds (64 % of 22 study watersheds). The regression relationships provided highly biased results at eight watersheds (36 %), implying their limited applicability. The heteroscedasticity of the residuals led to the high bias and resulting inaccurate regression, which was commonly found in watersheds where low flow had high nitrate + nitrite concentration variations. Conversely, the regression relationships provided acceptable accuracy for watersheds that had a relatively constant variance of the nitrate + nitrite concentrations. The results indicate that the homoscedasticity of residuals is the key assumption to be satisfied to estimate nitrate + nitrite loads from a statistical regression between flow discharge and nitrate + nitrite concentrations. The transport capacity (capacity-limited) concept implicitly assumed in the regression relationship between flow discharge and nitrate + nitrite concentrations is not always applicable, especially to agricultural areas in which nitrate + nitrite loads are highly variable depending on management practices (supply-limited). The findings suggest that the regression relationship should be carefully applied to areas in which intensive agricultural activities, including crop management and conservation practices, are implemented. Thus, the transport capacity concept is reasonably regarded to contribute to the homoscedasticity of residuals.

Dataset Information

Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions.

Publications

Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions.

Similar Datasets

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