DMS Colloquium: Rui Xie

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Speaker: Rui Xie,  Ph. D. candidate at the University of Georgia

Title: Online Leverage-based Sequential Sampling Method for Streaming Time Series Data

Abstract: Advances in streaming data acquisition technology bring challenges in analyzing large volumes of streaming data. Sampling method as a powerful tool for analyzing large sample data has received significant attention due to the competent estimation accuracy and low computation cost. However, sampling method and its statistical properties for streaming data, especially streaming time series data, are not well studied. In this work, we propose an online leverage-based sequential sampling algorithm for streaming time series data which follows an autoregressive (AR) model. The proposed sequential leveraging sampling (SLS) method samples only one consecutively recorded block from the data stream. The sampling starting point is chosen according to statistical leverage scores of the data, and subsample size is decided by the sequential sampling threshold. We demonstrate that the least squares estimates of model parameters from sequential leveraging subsample are asymptotically normally distributed for non-explosive p-th order autoregressive (AR(p)) model. Simulation studies and real data examples are presented to evaluate the empirical performance of the proposed SLS method.