A feature screening method for ultrahigh dimensional data based on model averaging

MaRDI QIDQ4984815zbMATH OpenFDO

Authors Yufei Gao, Peng Lai, Mengshuang He, Wenjun Xia

Publication date 26 April 2021

zbMATH Keywords

conditional quantilemodel averagingsure screening propertyultrahigh dimensional data

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Directional data; spatial statistics (62H11)

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(5)

• Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
• Stable feature screening for ultrahigh dimensional data
• Unified mean-variance feature screening for ultrahigh-dimensional regression
• Overview of feature screening methods for ultra-high dimensional data
• Feature screening for ultrahigh dimensional data based on the conditional interval quantile

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