SGDinference
Inference with Stochastic Gradient Descent
Estimation and inference methods for large-scale mean and quantile regression models via stochastic (sub-)gradient descent (S-subGD) algorithms. The inference procedure handles cross-sectional data sequentially: (i) updating the parameter estimate with each incoming "new observation", (ii) aggregating it as a Polyak-Ruppert average, and (iii) computing an asymptotically pivotal statistic for inference through random scaling. The methodology used in the 'SGDinference' package is described in detail in the following papers: (i) Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2022) doi:10.1609/aaai.v36i7.20701 "Fast and robust online inference with stochastic gradient descent via random scaling". (ii) Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2023) doi:10.48550/arXiv.2209.14502 "Fast Inference for Quantile Regression with Tens of Millions of Observations".
- Version0.1.0
- R version≥ 3.5.0
- LicenseGPL-3
- Needs compilation?Yes
- Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2022) "Fast and robust online inference with stochastic gradient descent via random scaling"
- Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2023) "Fast Inference for Quantile Regression with Tens of Millions of Observations"
- Last release11/16/2023
Documentation
Team
Youngki Shin
Sokbae Lee
Show author detailsRolesAuthorYuan Liao
Show author detailsRolesAuthorMyung Hwan Seo
Show author detailsRolesAuthor
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Last 30 days
This package has been downloaded 128 times in the last 30 days. Enough downloads to make a small wave in the niche community. The curiosity is spreading! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 4 times.
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Last 365 days
This package has been downloaded 1,741 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Sep 11, 2024 with 21 downloads.
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- Imports1 package
- Suggests7 packages
- Linking To2 packages