• 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