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sokbae committed Nov 8, 2023
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1 change: 1 addition & 0 deletions .Rbuildignore
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^LICENSE\.md$
^\.github$
^README\.Rmd$
^cran-comments\.md$
8 changes: 4 additions & 4 deletions DESCRIPTION
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Package: SGDinference
Type: Package
Title: Inference with Stochastic (sub-)Gradient Descent
Title: Inference with Stochastic Gradient Descent
Version: 0.1.0
Authors@R: c(
person("Sokbae", "Lee", email = "[email protected]", role = "aut"),
person("Yuan", "Liao", email = "[email protected]", role = "aut"),
person("Myung Hwan", "Seo", email = "[email protected]", role = "aut"),
person("Youngki", "Shin", email = "[email protected]", role = c("aut", "cre")))
Description: The package provides estimation and inference methods for large-scale mean and quantile regression models via stochastic (sub-)gradient descent (S-subGD) algorithms.
Description: Estimation and inference methods for large-scale mean and quantile regression models via stochastic (sub-)gradient descent (S-subGD) algorithms.
The inference procedure handles cross-sectional data sequentially:
(i) updating the parameter estimate with each incoming "new observation",
(ii) aggregating it as a Polyak-Ruppert average, and
(iii) computing an asymptotically pivotal statistic for inference through random scaling.
The methodology used in the SGDinference package is described in detail in the following papers:
(i) Lee, S., Liao, Y., Seo, M.H. and Shin, Y., 2022. Fast and robust online inference with stochastic gradient descent via random scaling. In Proceedings of the AAAI Conference on Artificial Intelligence (Vol. 36, No. 7, pp. 7381-7389). <https://doi.org/10.1609/aaai.v36i7.20701>.
(ii) Lee, S., Liao, Y., Seo, M.H. and Shin, Y., 2023. Fast Inference for Quantile Regression with Tens of Millions of Observations. arXiv:2209.14502 [econ.EM] <https://doi.org/10.48550/arXiv.2209.14502>.
(i) Lee, S., Liao, Y., Seo, M.H. and Shin, Y., 2022. Fast and robust online inference with stochastic gradient descent via random scaling. In Proceedings of the AAAI Conference on Artificial Intelligence (Vol. 36, No. 7, pp. 7381-7389). <doi:10.1609/aaai.v36i7.20701>.
(ii) Lee, S., Liao, Y., Seo, M.H. and Shin, Y., 2023. Fast Inference for Quantile Regression with Tens of Millions of Observations. <arXiv:2209.14502>. <doi:10.48550/arXiv.2209.14502>.
License: GPL-3
Imports:
stats,
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5 changes: 4 additions & 1 deletion cran-comments.md
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## R CMD check results
* There were no ERRORs or WARNINGs.

0 errors | 0 warnings | 1 note

* This is a new release.
2 changes: 1 addition & 1 deletion vignettes/SGDinference.Rmd
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---
title: "SGDinference: An R Vignette"
output: rmarkdown::pdf_document
output: rmarkdown::html_vignette
vignette: >
%\VignetteIndexEntry{SGDinference: An R Vignette}
%\VignetteEngine{knitr::rmarkdown}
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