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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".
| Version: | 0.1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats, Rcpp (≥ 1.0.5) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0), lmtest (≥ 0.9), sandwich (≥ 3.0), microbenchmark (≥ 1.4), conquer (≥ 1.3.3) |
| Published: | 2023-11-16 |
| DOI: | 10.32614/CRAN.package.SGDinference |
| Author: | Sokbae Lee [aut], Yuan Liao [aut], Myung Hwan Seo [aut], Youngki Shin [aut, cre] |
| Maintainer: | Youngki Shin <shiny11 at mcmaster.ca> |
| BugReports: | https://github.com/SGDinference-Lab/SGDinference/issues |
| License: | GPL-3 |
| URL: | https://github.com/SGDinference-Lab/SGDinference/ |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| CRAN checks: | SGDinference results |
| Reference manual: | SGDinference.pdf |
| Vignettes: |
SGDinference: An R Vignette |
| Package source: | SGDinference_0.1.0.tar.gz |
| Windows binaries: | r-devel: SGDinference_0.1.0.zip, r-release: SGDinference_0.1.0.zip, r-oldrel: SGDinference_0.1.0.zip |
| macOS binaries: | r-release (arm64): SGDinference_0.1.0.tgz, r-oldrel (arm64): SGDinference_0.1.0.tgz, r-release (x86_64): SGDinference_0.1.0.tgz, r-oldrel (x86_64): SGDinference_0.1.0.tgz |
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These binaries (installable software) and packages are in development.
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