Thomas Lumley • 6/4/2016

Computing the (simplest) sandwich estimator incrementally

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This technical article details the method for incrementally computing the Huber/White heteroscedasticity-consistent (sandwich) variance estimator within the R `biglm` package. It breaks down the mathematical formulation of the estimator and discusses an efficient computational approach using QR decomposition for streaming data regression where data may exceed memory.

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#statistics #Linear Regression #R
Computing the (simplest) sandwich estimator incrementally

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