Sample size determination for multidimensional parameters and the A-optimal subsampling in a big data linear regression model

To efficiently approximate the least squares estimator (LSE) in a Big Data linear regression model using a subsampling approach, optimal sampling distributions were derived by minimizing the trace norm of the covariance matrix of a smooth function of the subsampling LSE. An algorithm was developed that significantly reduces the computation time for the subsampling LSE compared to the full-sample LSE. Additionally, the subsampling LSE was shown to be asymptotically normal almost surely for an arbitrary sampling distribution under suitable conditions. Motivated by the need for subsampling in Big Data analysis and data splitting in machine learning, we investigated sample size determination (SSD) for multidimensional parameters and derived analytical formulas for calculating sample sizes. Through extensive simulations and real-world data applications, we assessed the numerical properties of both the subsampling approach and SSD methodology. Our findings revealed that the A-optimal subsampling method significantly outperformed uniform and leverage-score subsampling techniques. Furthermore, the algorithm considerably reduced the computational time required for implementing the full sample LSE. Additionally, the SSD provided a theoretical basis for selecting sample sizes.