Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models

DOI10.1080/01621459.2013.879828MaRDI QIDQ4975577zbMATH OpenOpenAlexWikidataFDO

Authors Yun-bei Ma, Wei Dai, Jianqing Fan

Publication date 7 August 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.0458, http://europepmc.org/articles/pmc4188418

zbMATH Keywords

variable selectionsparsitysure independence screeningfalse positive ratesconditional permutation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

Abstract: The varying-coefficient model is an important nonparametric statistical model that allows us to examine how the effects of covariates vary with exposure variables. When the number of covariates is big, the issue of variable selection arrives. In this paper, we propose and investigate marginal nonparametric screening methods to screen variables in ultra-high dimensional sparse varying-coefficient models. The proposed nonparametric independence screening (NIS) selects variables by ranking a measure of the nonparametric marginal contributions of each covariate given the exposure variable. The sure independent screening property is established under some mild technical conditions when the dimensionality is of nonpolynomial order, and the dimensionality reduction of NIS is quantified. To enhance practical utility and the finite sample performance, two data-driven iterative NIS methods are proposed for selecting thresholding parameters and variables: conditional permutation and greedy methods, resulting in Conditional-INIS and Greedy-INIS. The effectiveness and flexibility of the proposed methods are further illustrated by simulation studies and real data applications.

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• Discussion
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