DocumentCode
661052
Title
Covariance estimation in two-level regression
Author
Moehle, Nicholas ; Gorinevsky, Dimitry
Author_Institution
Dept. of Mech. Eng., Stanford Univ., Stanford, CA, USA
fYear
2013
fDate
9-11 Oct. 2013
Firstpage
288
Lastpage
293
Abstract
This paper considers estimation of covariance matrices in multivariate linear regression models for two-level data produced by a population of similar units (individuals). The proposed Bayesian formulation assumes that the covariances for different units are sampled from a common distribution. Assuming that this common distribution is Wishart, the optimal Bayesian estimation problem is shown to be convex. This paper proposes a specialized scalable algorithm for solving this two-level optimal Bayesian estimation problem. The algorithm scales to datasets with thousands of units and trillions of data points per unit, by solving the problem recursively, allowing new data to be quickly incorporated into the estimates. An example problem is used to show that the proposed approach improves over existing approaches to estimating covariance matrices in linear models for two-level data.
Keywords
Bayes methods; convex programming; covariance matrices; recursive estimation; regression analysis; statistical distributions; Bayesian formulation; Wishart distribution; convex optimization; covariance matrix estimation; data points; linear models; multivariate linear regression models; optimal two-level optimal Bayesian estimation problem; scalable algorithm; two-level data; two-level regression; Bayes methods; Bismuth; Covariance matrices; Data models; Estimation; Sociology;
fLanguage
English
Publisher
ieee
Conference_Titel
Control and Fault-Tolerant Systems (SysTol), 2013 Conference on
Conference_Location
Nice
Type
conf
DOI
10.1109/SysTol.2013.6693875
Filename
6693875
Link To Document