Inference for Large Scale Regression Models with Dependent Errors

• URL: http://arxiv.org/abs/2409.05160v1
• Date: Sun, 8 Sep 2024 17:01:05 GMT
• Title: Inference for Large Scale Regression Models with Dependent Errors
• Authors: Lionel Voirol, Haotian Xu, Yuming Zhang, Luca Insolia, Roberto Molinari, Stéphane Guerrier,
• Abstract summary: This work defines and proves the statistical properties of the Generalized Method of Wavelet Moments with Exogenous variables (GMWMX) It is a highly scalable, stable, and statistically valid method for estimating and delivering inference for linear models using processes in the presence of data complexities like latent dependence structures and missing data.
• Score: 3.3160726548489015
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: The exponential growth in data sizes and storage costs has brought considerable challenges to the data science community, requiring solutions to run learning methods on such data. While machine learning has scaled to achieve predictive accuracy in big data settings, statistical inference and uncertainty quantification tools are still lagging. Priority scientific fields collect vast data to understand phenomena typically studied with statistical methods like regression. In this setting, regression parameter estimation can benefit from efficient computational procedures, but the main challenge lies in computing error process parameters with complex covariance structures. Identifying and estimating these structures is essential for inference and often used for uncertainty quantification in machine learning with Gaussian Processes. However, estimating these structures becomes burdensome as data scales, requiring approximations that compromise the reliability of outputs. These approximations are even more unreliable when complexities like long-range dependencies or missing data are present. This work defines and proves the statistical properties of the Generalized Method of Wavelet Moments with Exogenous variables (GMWMX), a highly scalable, stable, and statistically valid method for estimating and delivering inference for linear models using stochastic processes in the presence of data complexities like latent dependence structures and missing data. Applied examples from Earth Sciences and extensive simulations highlight the advantages of the GMWMX.

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