Nonparametric independence screening in sparse ultra-high-dimensional additive models
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Publication:3095174
DOI10.1198/JASA.2011.TM09779zbMATH Open1232.62064arXiv0912.2695OpenAlexW2056938357WikidataQ40577277 ScholiaQ40577277MaRDI QIDQ3095174FDOQ3095174
Authors: Yang Feng, Rui Song, Jianqing Fan 
Publication date: 28 October 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: A variable screening procedure via correlation learning was proposed Fan and Lv (2008) to reduce dimensionality in sparse ultra-high dimensional models. Even when the true model is linear, the marginal regression can be highly nonlinear. To address this issue, we further extend the correlation learning to marginal nonparametric learning. Our nonparametric independence screening is called NIS, a specific member of the sure independence screening. Several closely related variable screening procedures are proposed. Under the nonparametric additive models, it is shown that under some mild technical conditions, the proposed independence screening methods enjoy a sure screening property. The extent to which the dimensionality can be reduced by independence screening is also explicitly quantified. As a methodological extension, an iterative nonparametric independence screening (INIS) is also proposed to enhance the finite sample performance for fitting sparse additive models. The simulation results and a real data analysis demonstrate that the proposed procedure works well with moderate sample size and large dimension and performs better than competing methods.
Full work available at URL: https://arxiv.org/abs/0912.2695
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- Variable selection for high-dimensional varying coefficient partially linear models via nonconcave penalty
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