Large-scale linear hypothesis testing for high-dimensional online M-estimation
高维在线 M 估计中的大规模线性假设检验
With the growing prevalence of streaming data, renewable estimation has become an important tool for updating statistical analyses without retaining historical raw observations. We study estimation and linear hypothesis testing in high-dimensional online M-estimation. Existing renewable procedures based on quadratic approximations can incur first-order approximation errors because the gradient of the unpenalized loss generally does not vanish at a preceding penalized…