On Constructing Confidence Region for Model Parameters in Stochastic Gradient Descent via Batch Means
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Abstract (arXiv)
In this paper, we study a simple algorithm to construct asymptotically valid confidence regions for model parameters using the batch means method. The main idea is to cancel out the covariance matrix which is hard/costly to estimate. In the process of developing the algorithm, we establish process-level functional central limit theorem for Polyak-Ruppert averaging based stochastic gradient descent estimators. We also extend the batch means method to accommodate more general batch size specifications.
Key facts. Cited by 13 papers in the map (data through 14 Oct 2026). First posted on arXiv 4 Nov 2019.
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Citing papers per year: 2021: 1; 2022: 0; 2023: 3; 2024: 3; 2025: 1; 2026: 5.
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- 2021Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scalingcited by 28
- 2023Online Statistical Inference for Nonlinear Stochastic Approximation with Markovian Datacited by 20
- 2023SGMM: Stochastic Approximation to Generalized Method of Momentscited by 3
- 2024Asymptotic Time-Uniform Inference for Parameters in Averaged Stochastic Approximationcited by 3
- 2024Asymptotic Analysis of Sample-averaged Q-learningcited by 2
- 2025Statistical Inference for Online Algorithmscited by 2
- 2026Statistical Inference for Stochastic Gradient Descent: Beyond Finite Variancecited by 2
- 2026How Much is Left? LLMs Linearly Encode Their Remaining Output Lengthcited by 2
- 2026Central limit theorem for the averaged Adam optimizercited by 1
- 2023Cheap Bootstrap for Fast Uncertainty Quantification of Stochastic Gradient Descentcited by 0
- 2024Enhancing Stochastic Optimization for Statistical Efficiency Using ROOT-SGD with Diminishing Stepsizecited by 0
- 2026SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Modelscited by 0
- 2026Nonparametric Variance-Penalized Actor-Critic: Statistical Inference for Risk-Sensitive Reinforcement Learning13 Sep 2026
- 2026SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Models26 Aug 2026
- 2026How Much is Left? LLMs Linearly Encode Their Remaining Output Length6 Jul 2026
- 2026Central limit theorem for the averaged Adam optimizer19 Jun 2026
- 2026Statistical Inference for Stochastic Gradient Descent: Beyond Finite Variance25 May 2026
- 2025Statistical Inference for Online Algorithms22 May 2025
- 2024Asymptotic Time-Uniform Inference for Parameters in Averaged Stochastic Approximation19 Oct 2024
- 2024Asymptotic Analysis of Sample-averaged Q-learning14 Oct 2024
- 2024Enhancing Stochastic Optimization for Statistical Efficiency Using ROOT-SGD with Diminishing Stepsize15 Jul 2024
- 2023Cheap Bootstrap for Fast Uncertainty Quantification of Stochastic Gradient Descent17 Oct 2023
- 2023SGMM: Stochastic Approximation to Generalized Method of Moments25 Aug 2023
- 2023Online Statistical Inference for Nonlinear Stochastic Approximation with Markovian Data15 Feb 2023
- 2021Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scalingcited by 28
- 2023Online Statistical Inference for Nonlinear Stochastic Approximation with Markovian Datacited by 20
- 2023SGMM: Stochastic Approximation to Generalized Method of Momentscited by 3
- 2024Asymptotic Time-Uniform Inference for Parameters in Averaged Stochastic Approximationcited by 3
- 2025Statistical Inference for Online Algorithmscited by 2
- 2026Statistical Inference for Stochastic Gradient Descent: Beyond Finite Variancecited by 2
- 2026How Much is Left? LLMs Linearly Encode Their Remaining Output Lengthcited by 2
- 2026Central limit theorem for the averaged Adam optimizercited by 1
- 2023Cheap Bootstrap for Fast Uncertainty Quantification of Stochastic Gradient Descentcited by 0
- 2024Enhancing Stochastic Optimization for Statistical Efficiency Using ROOT-SGD with Diminishing Stepsizecited by 0
- 2026SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Modelscited by 0
- 2026SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Models26 Aug 2026
- 2026How Much is Left? LLMs Linearly Encode Their Remaining Output Length6 Jul 2026
- 2026Central limit theorem for the averaged Adam optimizer19 Jun 2026
- 2026Statistical Inference for Stochastic Gradient Descent: Beyond Finite Variance25 May 2026
- 2025Statistical Inference for Online Algorithms22 May 2025
- 2024Asymptotic Time-Uniform Inference for Parameters in Averaged Stochastic Approximation19 Oct 2024
- 2024Enhancing Stochastic Optimization for Statistical Efficiency Using ROOT-SGD with Diminishing Stepsize15 Jul 2024
- 2023Cheap Bootstrap for Fast Uncertainty Quantification of Stochastic Gradient Descent17 Oct 2023
- 2023SGMM: Stochastic Approximation to Generalized Method of Moments25 Aug 2023
- 2023Online Statistical Inference for Nonlinear Stochastic Approximation with Markovian Data15 Feb 2023
- 2021Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling6 Jun 2021