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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
Abstract #304202
Title: Leverage Score Sampling for Multidimensional Streaming Time Series
Author(s): Shuyang Bai* and Rui Xie and Ping Ma and Wenxuan Zhong and Zengyan Wang
Companies: University of Georgia and University of Georgia and University of Georgia and University of Georgia and University of Georgia
Keywords: Streaming Data; Time Series; Sampling; Leverage Score; Asymptotic Efficiency; Optimal Design

Real-time modeling of multidimensional streaming time series often faces computational challenges. A useful strategy is to sample sequentially a small fraction of the data stream, based on which the online estimation of the model is carried out. In the context of the vector autoregression model, we propose a sampling method based on thresholding a leverage score. In terms of least squares estimation efficiency, the method is shown to have a performance better than alternatives such as Bernoulli sampling.

Authors who are presenting talks have a * after their name.

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