Physical Sciences and Mathematics Commons^™

Online Cross-Validation-Based Ensemble Learning, David Benkeser, Samuel D. Lendle, Cheng Ju, Mark J. Van Der Laan

U.C. Berkeley Division of Biostatistics Working Paper Series

Online estimators update a current estimate with a new incoming batch of data without having to revisit past data thereby providing streaming estimates that are scalable to big data. We develop flexible, ensemble-based online estimators of an infinite-dimensional target parameter, such as a regression function, in the setting where data are generated sequentially by a common conditional data distribution given summary measures of the past. This setting encompasses a wide range of time-series models and as special case, models for independent and identically distributed data. Our estimator considers a large library of candidate online estimators and uses online cross-validation to …