Linear regression with unmatched data: a deconvolution perspective
- š¤ Speaker: Mona Azadkia (London School of Economics)
- š Date & Time: Friday 03 March 2023, 14:00 - 15:00
- š Venue: MR12, Centre for Mathematical Sciences
Abstract
Consider the regression problem where the response Yāā and the covariate Xāād for dā„1 are \textit{unmatched}. Under this scenario, we do not have access to pairs of observations from the distribution of (X,Y), but instead, we have separate datasets {Yi}ni=1 and {Xj}mj=1, possibly collected from different sources. We study this problem assuming that the regression function is linear and the noise distribution is known or can be estimated. We introduce an estimator of the regression vector based on deconvolution and demonstrate its consistency and asymptotic normality under an identifiability assumption. In the general case, we show that our estimator (DLSE: Deconvolution Least Squared Estimator) is consistent in terms of an extended ā2 norm. Using this observation, we devise a method for semi-supervised learning, i.e., when we have access to a small sample of matched pairs (Xk,Yk). Several applications with synthetic and real datasets are considered to illustrate the theory.
Series This talk is part of the Statistics series.
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Friday 03 March 2023, 14:00-15:00