A Projector-Based Approach to Quantifying Total and Excess Uncertainties for Sketched Linear Regression (1808.05924v3)

Abstract: Linear regression is a classic method of data analysis. In recent years, sketching -- a method of dimension reduction using random sampling, random projections, or both -- has gained popularity as an effective computational approximation when the number of observations greatly exceeds the number of variables. In this paper, we address the following question: How does sketching affect the statistical properties of the solution and key quantities derived from it? To answer this question, we present a projector-based approach to sketched linear regression that is exact and that requires minimal assumptions on the sketching matrix. Therefore, downstream analyses hold exactly and generally for all sketching schemes. Additionally, a projector-based approach enables derivation of key quantities from classic linear regression that account for the combined model- and algorithm-induced uncertainties. We demonstrate the usefulness of a projector-based approach in quantifying and enabling insight on excess uncertainties and bias-variance decompositions for sketched linear regression. Finally, we demonstrate how the insights from our projector-based analyses can be used to produce practical sketching diagnostics to aid the design of judicious sketching schemes.