Electronic Journal of Statistics

Additive partially linear models for massive heterogeneous data

Binhuan Wang, Yixin Fang, Heng Lian, and Hua Liang

Full-text: Open access

Abstract

We consider an additive partially linear framework for modelling massive heterogeneous data. The major goal is to extract multiple common features simultaneously across all sub-populations while exploring heterogeneity of each sub-population. We propose an aggregation type of estimators for the commonality parameters that possess the asymptotic optimal bounds and the asymptotic distributions as if there were no heterogeneity. This oracle result holds when the number of sub-populations does not grow too fast and the tuning parameters are selected carefully. 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. Furthermore, we develop a heterogeneity test for the linear components and a homogeneity test for the non-linear components accordingly. The performance of the proposed methods is evaluated via simulation studies and an application to the Medicare Provider Utilization and Payment data.

Article information

Source
Electron. J. Statist., Volume 13, Number 1 (2019), 391-431.

Dates
Received: August 2017
First available in Project Euclid: 9 February 2019

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1549681242

Digital Object Identifier
doi:10.1214/18-EJS1528

Mathematical Reviews number (MathSciNet)
MR3910488

Zentralblatt MATH identifier
07021709

Subjects
Primary: 62G08: Nonparametric regression
Secondary: 62J99: None of the above, but in this section

Keywords
Divide-and-conquer homogeneity heterogeneity oracle property regression splines

Rights
Creative Commons Attribution 4.0 International License.

Citation

Wang, Binhuan; Fang, Yixin; Lian, Heng; Liang, Hua. Additive partially linear models for massive heterogeneous data. Electron. J. Statist. 13 (2019), no. 1, 391--431. doi:10.1214/18-EJS1528. https://projecteuclid.org/euclid.ejs/1549681242


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