You Only Compress Once: Optimal Data Compression for Estimating Linear
Models
- URL: http://arxiv.org/abs/2102.11297v1
- Date: Mon, 22 Feb 2021 19:00:18 GMT
- Title: You Only Compress Once: Optimal Data Compression for Estimating Linear
Models
- Authors: Jeffrey Wong, Eskil Forsell, Randall Lewis, Tobias Mao and Matthew
Wardrop
- Abstract summary: Many engineering systems that use linear models achieve computational efficiency through distributed systems and expert configuration.
Conditionally sufficient statistics is a unified data compression and estimation strategy.
- Score: 1.2845031126178592
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: Linear models are used in online decision making, such as in machine
learning, policy algorithms, and experimentation platforms. Many engineering
systems that use linear models achieve computational efficiency through
distributed systems and expert configuration. While there are strengths to this
approach, it is still difficult to have an environment that enables researchers
to interactively iterate and explore data and models, as well as leverage
analytics solutions from the open source community. Consequently, innovation
can be blocked.
Conditionally sufficient statistics is a unified data compression and
estimation strategy that is useful for the model development process, as well
as the engineering deployment process. The strategy estimates linear models
from compressed data without loss on the estimated parameters and their
covariances, even when errors are autocorrelated within clusters of
observations. Additionally, the compression preserves almost all interactions
with the the original data, unlocking better productivity for both researchers
and engineering systems.
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