B1216
Title: Subdata selection algorithm for linear model selection
Authors: Jun Yu - Beijing Institute of Technology (China) [presenting]
Abstract: A statistical method is likely to be sub-optimal if the assumed model does not reflect the structure of the data at hand. For this reason, it is important to perform model selection before statistical analysis. However, selecting an appropriate model from a large candidate pool is usually computationally infeasible when faced with a massive data set, and little work has been done to study data selection for model selection. We propose a subdata selection method based on leverage scores which enables us to conduct the selection task on a small subdata set. The method not only improves the probability of selecting the best model but also enhances the estimation efficiency. Several examples are presented to illustrate the proposed method.
