Copula-based Partial Correlation Screening: a Joint and Robust Approach
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Applications of statistics to biology and medical sciences; meta analysis (62P10) Statistical aspects of big data and data science (62R07) Large deviations (60F10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)
Abstract: Screening for ultrahigh dimensional features may encounter complicated issues such as outlying observations, heteroscedasticity or heavy-tailed distribution, multi-collinearity and confounding effects. Standard correlation-based marginal screening methods may be a weak solution to these issues. We contribute a novel robust joint screener to safeguard against outliers and distribution mis-specification for both the response variable and the covariates, and to account for external variables at the screening step. Specifically, we introduce a copula-based partial correlation (CPC) screener. We show that the empirical process of the estimated CPC converges weakly to a Gaussian process and establish the sure screening property for CPC screener under very mild technical conditions, where we need not require any moment condition, weaker than existing alternatives in the literature. Moreover, our approach allows for a diverging number of conditional variables from the theoretical point of view. Extensive simulation studies and two data applications are included to illustrate our proposal.
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Cited in
(9)- A note of feature screening via a rank-based coefficient of correlation
- Robust feature screening for elliptical copula regression model
- Inference for possibly misspecified generalized linear models with nonpolynomial-dimensional nuisance parameters
- On a Screened Pearson Correlation and Its Application to Interdependence Methods
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