aiqbench analysis
This research advances the theoretical foundations of online quantile regression by establishing finite-sample distribution guarantees for Stochastic SubGradient Descent under constant learning rates. By correcting biases in standard averaging techniques and proposing a new suffix averaging method, the authors enable efficient inference on large-scale streaming data without relying on computationally heavy covariance estimation. The practical utility of this approach is demonstrated through applications to U.S. wage data, offering a robust solution for real-time statistical analysis in high-dimensional settings.
Finite-Sample Distribution Theory and Efficient Large-Scale Inference for Online Quantile Regression
arXiv:2610.05869v1 Announce Type: cross Abstract: This paper studies online quantile regression for large-scale and streaming data using Stochastic SubGradient Descent (SSGD) with constant learning rates. Classical offline inference for quantile regression is computationally and memory intensive. Existing works of online inference for quantile regression provide only asymptotic guarantees and typically require sub-exponential tail conditions for distribution theory. To bridge these gaps, we introduce new techniques to prove a quenched central limit theorem (CLT) and finite-sample Gaussian approximation for SSGD under a finite-moment assumption. We further show that Ruppert-Polyak averaging with a constant learning rate has a non-vanishing bias and fails to satisfy CLT centering at the population target. Hence we propose suffix averaging to address this issue and establish its finite-sample Gaussian approximation. Based on these results, we provide an efficient online inference method for quantile regression that avoids covariance estimation. Numerical experiments show that our method achieves desirable empirical coverage rates and competitive performance compared to other inference methods. We also apply our approach to U.S. wage data to demonstrate its practical effectiveness.
Abstract:This paper studies online quantile regression for large-scale and streaming data using Stochastic SubGradient Descent (SSGD) with constant learning rates. Classical offline inference for quantile regression is computationally and memory intensive. Existing works of online inference for quantile regression provide only asymptotic guarantees and typically require sub-exponential tail conditions for distribution theory. To bridge these gaps, we introduce new techniques to prove a quenched central limit theorem (CLT) and finite-sample Gaussian approximation for SSGD under a finite-moment assumption. We further show that Ruppert-Polyak averaging with a constant learning rate has a non-vanishing bias and fails to satisfy CLT centering at the population target. Hence we propose suffix averaging to address this issue and establish its finite-sample Gaussian approximation. Based on these results, we provide an efficient online inference method for quantile regression that avoids covariance estimation. Numerical experiments show that our method achieves desirable empirical coverage rates and competitive performance compared to other inference methods. We also apply our approach to U.S. wage data to demonstrate its practical effectiveness.
Machine Learning (stat.ML); Machine Learning (cs.LG); Statistics Theory (math.ST); Methodology (stat.ME)
arXiv:2610.05869 [stat.ML]
(or arXiv:2610.05869v1 [stat.ML] for this version)
https://doi.org/10.48550/arXiv.2610.05869 Focus to learn more arXiv-issued DOI via DataCite (pending registration)
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