Minimax Subsampling for Estimation and Prediction in Low-Dimensional Linear Regression.

Subsampling strategies are derived to sample a small portion of design (data) points in a low-dimensional linear regression model $y=Xbeta+varepsilon$ with near-optimal statistical rates. Our results apply to both problems of estimation of the underlying linear model $beta$ and predicting the real-valued response $y$ of a new data point $x$. The derived subsampling strategies are minimax optimal under the fixed design setting, up to a small $(1+epsilon)$ relative factor. We also give interpretable subsampling probabilities for the random design setting and demonstrate explicit gaps in statistial rates between optimal and baseline (e.g., uniform) subsampling methods.