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Full-Text Articles in Statistical Methodology
Parameter Estimation And Inference Of Spatial Autoregressive Model By Stochastic Gradient Descent, Gan Luan
Parameter Estimation And Inference Of Spatial Autoregressive Model By Stochastic Gradient Descent, Gan Luan
Dissertations
Stochastic gradient descent (SGD) is a popular iterative method for model parameter estimation in large-scale data and online learning settings since it goes through the data in only one pass. While SGD has been well studied for independent data, its application to spatially-correlated data largely remains unexplored. This dissertation develops SGD-based parameter estimation and statistical inference algorithms for the spatial autoregressive (SAR) model, a common model for spatial lattice data.
This research contains three parts. (I) The first part concerns SGD estimation and inference for the SAR mean regression model. A new SGD algorithm based on maximum likelihood estimator (MLE) …