Sure independence screening in generalized linear models with NP-dimensionality

DOI10.1214/10-AOS798zbMATH Open1206.68157arXiv0903.5255OpenAlexW2016119924MaRDI QIDQ140975FDOQ140975

Authors: Jianqing Fan, Rui Song, Rui Song, Jianqing Fan 

Publication date: 1 December 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Ultrahigh-dimensional variable selection plays an increasingly important role in contemporary scientific discoveries and statistical research. Among others, Fan and Lv [J. R. Stat. Soc. Ser. B Stat. Methodol. 70 (2008) 849-911] propose an independent screening framework by ranking the marginal correlations. They showed that the correlation ranking procedure possesses a sure independence screening property within the context of the linear model with Gaussian covariates and responses. In this paper, we propose a more general version of the independent learning with ranking the maximum marginal likelihood estimates or the maximum marginal likelihood itself in generalized linear models. We show that the proposed methods, with Fan and Lv [J. R. Stat. Soc. Ser. B Stat. Methodol. 70 (2008) 849-911] as a very special case, also possess the sure screening property with vanishing false selection rate. The conditions under which the independence learning possesses a sure screening is surprisingly simple. This justifies the applicability of such a simple method in a wide spectrum. We quantify explicitly the extent to which the dimensionality can be reduced by independence screening, which depends on the interactions of the covariance matrix of covariates and true parameters. Simulation studies are used to illustrate the utility of the proposed approaches. In addition, we establish an exponential inequality for the quasi-maximum likelihood estimator which is useful for high-dimensional statistical learning.

Full work available at URL: https://arxiv.org/abs/0903.5255

Recommendations

• Robust sure independence screening for nonpolynomial dimensional generalized linear models
• Sure independence screening in ultrahigh dimensional generalized additive models
• A sure independence screening procedure for ultra-high dimensional partially linear additive models
• Sure independence screening adjusted for confounding covariates with ultrahigh dimensional data
• Robust sure independence screening for ultrahigh dimensional non-normal data
• Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
• Nonparametric independence screening in sparse ultra-high-dimensional additive models
• Independent screening in high-dimensional exponential family predictors’ space
• Principled sure independence screening for Cox models with ultra-high-dimensional covariates
• Nonparametric independence screening for ultra-high dimensional generalized varying coefficient models with longitudinal data

zbMATH Keywords

variable selectiongeneralized linear modelsindependent learningsure independent screening

Mathematics Subject Classification ID

Large deviations (60F10) Generalized linear models (logistic models) (62J12) Computational learning theory (68Q32) Statistical distribution theory (62E99)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Weak convergence and empirical processes. With applications to statistics
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• Maximum Likelihood Estimation of Misspecified Models
• One-step sparse estimates in nonconcave penalized likelihood models
• High-dimensional generalized linear models and the lasso
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Title not available (Why is that?)
• Title not available (Why is that?)
• High-dimensional classification using features annealed independence rules
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Persistene in high-dimensional linear predictor-selection and the virtue of overparametrization
• M-estimation using penalties or sieves
• Title not available (Why is that?)
• Title not available (Why is that?)
• Probability Inequalities for Sums of Bounded Random Variables
• A Statistical View of Some Chemometrics Regression Tools
• About the constants in Talagrand's concentration inequalities for empirical processes.
• Robust inference for univariate proportional hazards frailty regression models
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Tilting methods for assessing the influence of components in a classifier
• An Analysis of Transformations Revisited

Cited In (only showing first 100 items - show all)

• Goodness-of-fit testing-based selection for large-\(p\)-small-\(n\) problems: a two-stage ranking approach
• A regularization-based adaptive test for high-dimensional GLMs
• Ranking-based variable selection for high-dimensional data
• Estimating false discovery proportion under arbitrary covariance dependence
• Feature screening via distance correlation learning
• Forward variable selection for ultra-high dimensional quantile regression models
• Consistent tuning parameter selection in high-dimensional group-penalized regression
• Feature selection when there are many influential features
• Sparse regression: scalable algorithms and empirical performance
• Covariate assisted screening and estimation
• Testing covariates in high dimension linear regression with latent factors
• Feature selection for varying coefficient models with ultrahigh-dimensional covariates
• ARGONAUT: algorithms for global optimization of constrained grey-box computational problems
• Model-free conditional independence feature screening for ultrahigh dimensional data
• Model-free feature screening for ultrahigh dimensional censored regression
• Nonparametric independence screening in sparse ultra-high-dimensional additive models
• The use of random-effect models for high-dimensional variable selection problems
• Model-free feature screening for ultrahigh-dimensional data conditional on some variables
• Model-free sure screening via maximum correlation
• Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
• Adaptive Lasso estimators for ultrahigh dimensional generalized linear models
• Feature screening for generalized varying coefficient models with application to dichotomous responses
• Title not available (Why is that?)
• Ultrahigh dimensional time course feature selection
• Local independence feature screening for nonparametric and semiparametric models by marginal empirical likelihood
• Analyzing large datasets with bootstrap penalization
• Marginal empirical likelihood and sure independence feature screening
• Linear hypothesis testing in dense high-dimensional linear models
• Sparse classification: a scalable discrete optimization perspective
• Martingale difference correlation and its use in high-dimensional variable screening
• High-dimensional influence measure
• Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models
• Robust rank correlation based screening
• Sure independence screening in ultrahigh dimensional generalized additive models
• Nonparametric independence screening for ultra-high dimensional generalized varying coefficient models with longitudinal data
• Adaptively weighted group Lasso for semiparametric quantile regression models
• Ultrahigh dimensional variable selection through the penalized maximum trimmed likelihood estimator
• Screening-based Bregman divergence estimation with NP-dimensionality
• Penalized wavelets: embedding wavelets into semiparametric regression
• The fused Kolmogorov filter: a nonparametric model-free screening method
• Variable selection in censored quantile regression with high dimensional data
• Maximum likelihood estimation in logistic regression models with a diverging number of covariates
• Detecting rare and faint signals via thresholding maximum likelihood estimators
• Variable selection for additive partial linear quantile regression with missing covariates
• Interaction screening for ultrahigh-dimensional data
• Bayesian high-dimensional screening via MCMC
• SIS
• Feature screening for time-varying coefficient models with ultrahigh-dimensional longitudinal data
• Measuring and testing for interval quantile dependence
• Factor-Adjusted Regularized Model Selection
• High-dimensional Bayesian inference in nonparametric additive models
• Independent feature screening for ultrahigh-dimensional models with interactions
• Greedy forward regression for variable screening
• Ultrahigh dimensional feature selection: beyond the linear model
• Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
• Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
• Likelihood ratio test in multivariate linear regression: from low to high dimension
• A sure independence screening procedure for ultra-high dimensional partially linear additive models
• Independent screening in high-dimensional exponential family predictors’ space
• Bayesian Subset Modeling for High-Dimensional Generalized Linear Models
• Robust feature screening for varying coefficient models via quantile partial correlation
• Profile forward regression screening for ultra-high dimensional semiparametric varying coefficient partially linear models
• A distribution-based Lasso for a general single-index model
• Consistent Screening Procedures in High-dimensional Binary Classification
• High-dimensional multivariate posterior consistency under global-local shrinkage priors
• Nonparametric feature screening
• Robust feature screening procedures for single and mixed types of data
• Robust sure independence screening for ultrahigh dimensional non-normal data
• Going beyond oracle property: selection consistency and uniqueness of local solution of the generalized linear model
• Robust rank screening for ultrahigh dimensional discriminant analysis
• The de-biased group Lasso estimation for varying coefficient models
• Selective inference via marginal screening for high dimensional classification
• Principled sure independence screening for Cox models with ultra-high-dimensional covariates
• Robust sure independence screening for nonpolynomial dimensional generalized linear models
• Conditional characteristic feature screening for massive imbalanced data
• An iterative approach to distance correlation-based sure independence screening
• The Kendall interaction filter for variable interaction screening in high dimensional classification problems
• A modified mean-variance feature-screening procedure for ultrahigh-dimensional discriminant analysis
• A procedure of linear discrimination analysis with detected sparsity structure for high-dimensional multi-class classification
• Modified SCAD penalty for constrained variable selection problems
• Robust feature screening for high-dimensional survival data
• Asset selection based on high frequency Sharpe ratio
• Feature screening for network autoregression model
• Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations
• Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
• Hypothesis testing sure independence screening for nonparametric regression
• Variable screening for high dimensional time series
• Fused variable screening for massive imbalanced data
• A nonparametric feature screening method for ultrahigh-dimensional missing response
• Feature screening for ultrahigh dimensional categorical data with covariates missing at random
• A note on quantile feature screening via distance correlation
• Surrogate-variable-based model-free feature screening for survival data under the general censoring mechanism
• Copula-based Partial Correlation Screening: a Joint and Robust Approach
• Interaction identification and clique screening for classification with ultra-high dimensional discrete features
• Nonparametric independence screening for ultra-high-dimensional longitudinal data under additive models
• Feature screening with large‐scale and high‐dimensional survival data
• A general framework for tensor screening through smoothing
• On sufficient variable screening using log odds ratio filter
• Sufficient variable selection using independence measures for continuous response
• Feature screening and FDR control with knockoff features for ultrahigh-dimensional right-censored data

This page was built for publication: Sure independence screening in generalized linear models with NP-dimensionality

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q140975)