解决乱序线性回归的有限样本推断问题,实现对排列和系数的精准统计分析。
Finite-Sample Inference for Sparsely Permuted Linear Regression
- 通过局部化方法将排列空间缩小为候选集,降低计算复杂度。
- 提出条件蒙特卡洛检验,保证有限样本下第一类错误率可控。
- 适用于空气质量数据等实际场景,兼具精度与可扩展性。
我们研究一种带有未知排列的线性观测模型(即乱序/洗牌线性回归),其中响应变量与协变量错配,排列构成一个离散且阶乘规模的参数。该排列是数据生成过程的关键部分,但因其离散性,其统计研究仍具挑战。本文构建了一般性统计推断框架:首先引入局部化步骤,基于最新重抽样方法将排列空间缩减至小候选集,其误覆盖率随蒙特卡洛样本数呈多项式衰减;在此基础上,提出排列结构的条件蒙特卡洛检验,实现有限样本下的有效第一类错误控制;同时发展了在排列对齐不确定性下依然有效的系数推断方法。为计算效率,设计了一个可在多项式时间内求解的线性分配问题,且高概率下其解等价于传统最小二乘法(计算成本高)。还讨论了部分错位设计与岭正则化的扩展。大量模拟及空气质量数据应用验证了方法的有限样本有效性、检测错配的强大功效与实际可扩展性。
原文摘要 · Abstract (English)
We study a linear observation model with an unknown permutation called \textit{permuted/shuffled linear regression}, where responses and covariates are mismatched and the permutation forms a discrete, factorial-size parameter. The permutation is a key component of the data-generating process, yet its statistical investigation remains challenging due to its discrete nature. We develop a general statistical inference framework on the permutation and regression coefficients. First, we introduce a localization step that reduces the permutation space to a small candidate set building on recent advances in the repro samples method, whose miscoverage decays polynomially with the number of Monte Carlo samples. Then, based on this localized set, we provide statistical inference procedures: a conditional Monte Carlo test of permutation structures with valid finite-sample Type-I error control. We also develop coefficient inference that remains valid under alignment uncertainty of permutations. For computational purposes, we develop a linear assignment problem computable in polynomial time and demonstrate that, with high probability, the solution is equivalent to that of the conventional least squares with large computational cost. Extensions to partially permuted designs and ridge regularization are further discussed. Extensive simulations and an application to air-quality data corroborate finite-sample validity, strong power to detect mismatches, and practical scalability.
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