Optimum Statistical Estimation with Strategic Data Sources

author: Constantinos Daskalakis, Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, MIT
published: Aug. 20, 2015,   recorded: July 2015,   views: 59
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Description

We propose an optimum mechanism for providing monetary incentives to the data sources of a statistical estimator such as linear regression, so that high quality data is provided at low cost, in the sense that the weighted sum of payments and estimation error is minimized. The mechanism applies to a broad range of estimators, including linear and polynomial regression, kernel regression, and, under some additional assumptions, ridge regression. It also generalizes to several objectives, including minimizing estimation error subject to budget constraints. Besides our concrete results for regression problems, we contribute a mechanism design framework through which to design and analyze statistical estimators whose examples are supplied by workers with cost for labeling said examples.

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