Interaction pursuit in high-dimensional multi-response regression via distance correlation

DOI10.1214/16-AOS1474zbMATH Open1368.62140arXiv1605.03315OpenAlexW2964150627MaRDI QIDQ2012211FDOQ2012211

Jinchi Lv, Daoji Li, Yinfei Kong, Yingying Fan

Publication date: 28 July 2017

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

Abstract: Feature interactions can contribute to a large proportion of variation in many prediction models. In the era of big data, the coexistence of high dimensionality in both responses and covariates poses unprecedented challenges in identifying important interactions. In this paper, we suggest a two-stage interaction identification method, called the interaction pursuit via distance correlation (IPDC), in the setting of high-dimensional multi-response interaction models that exploits feature screening applied to transformed variables with distance correlation followed by feature selection. Such a procedure is computationally efficient, generally applicable beyond the heredity assumption, and effective even when the number of responses diverges with the sample size. Under mild regularity conditions, we show that this method enjoys nice theoretical properties including the sure screening property, support union recovery, and oracle inequalities in prediction and estimation for both interactions and main effects. The advantages of our method are supported by several simulation studies and real data analysis.

Full work available at URL: https://arxiv.org/abs/1605.03315

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zbMATH Keywords

distance correlationsparsityhigh dimensionalityinteraction pursuitmulti-response regressionsquare transformation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Statistical ranking and selection procedures (62F07) Estimation in multivariate analysis (62H12)

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