Modal regression with streaming data sets
摘要
Modal is a good alternative of mean. Streaming datasets are often encountered in modern data analysis, where a series of data sets becomes available sequentially and its cumulative data size is unbounded. Then the traditional modal regression computing the entire data together is not adaptive for such data. To address this issue, an online renewable modal regression learning is proposed, in which the modal regression estimator is renewed with current data and Hessian matrix of historical data. In theory, the estimation consistency and asymptotic normality of the renewable estimator are established, which leads to the oracle property. Numerical experiments are also included to confirm the good performance of the proposed method.