Abstract:
Faced with massive data, subsampling is a commonly used technique to improve computational efficiency, and using nonuniform subsampling probabilities is an effective approach to improve estimation efficiency. For computational efficiency, subsampling is often implemented with replacement or through Poisson subsampling. However, no rigorous investigation has been performed to study the difference between the two subsampling procedures such as their estimation efficiency and computational convenience. In the context of maximizing a general target function, this paper derives optimal subsampling probabilities for both subsampling with replacement and Poisson subsampling. The optimal subsampling probabilities minimize variance functions of the subsampling estimators. Furthermore, they provide deep insights on the theoretical similarities and differences between subsampling with replacement and Poisson subsampling. Practically implementable algorithms are proposed based on the optimal structural results, which are evaluated by both theoretical and empirical analysis.
