Optimal Subsampling: Sampling with Replacement Vs Poisson Sampling

• Activity Number: 122 - Novel Statistical Methods in the Analysis of Big Data
• Type: Topic Contributed
• Date/Time: Monday, July 29, 2019 : 8:30 AM to 10:20 AM
• Sponsor: Section on Statistical Computing
• Author(s): HaiYing Wang* and Jiahui Zou
• Companies: University of Connecticut and Academy of Mathematics and Systems Science, Chinese Academy of Sciences
• Keywords: Asymptotic distribution; Big data; M estimator; Poisson sampling; Sampling with replacement

Abstract

Faced with massive data, subsampling is a commonly used technique to improve computational efficiency, and using nonuniform subsampling probabilities is an effective approach to improve estimation efficiency. In the context of maximizing a general target function, this paper derives optimal subsampling probabilities for both subsampling with replacement and Poisson subsampling. The optimal subsampling probabilities minimize functions of the subsampling approximation variances in order to improve the estimation efficiency. Furthermore, they provide deep insights on the theoretical similarities and differences between subsampling with replacement and Poisson subsampling. Practically implementable algorithms are proposed based on the optimal structural results, which are evaluated by both theoretical and empirical analysis.