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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- 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
- Variable selection in finite mixture of semi-parametric regression models
- A modified mean-variance feature-screening procedure for ultrahigh-dimensional discriminant analysis
- Asymptotic properties of high-dimensional random forests
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- Semiparametric model average prediction in panel data analysis
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- A note on quantile feature screening via distance correlation
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- Copula-based Partial Correlation Screening: a Joint and Robust Approach
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- Cluster feature selection in high-dimensional linear models
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- On sufficient variable screening using log odds ratio filter
- Tests for \(p\)-regression coefficients in linear panel model when \(p\) is divergent
- Sufficient variable selection using independence measures for continuous response
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- A selective overview of feature screening for ultrahigh-dimensional data
- A model-free conditional screening approach via sufficient dimension reduction
- Covariance-insured screening
- Feature screening in ultrahigh-dimensional partially linear models with missing responses at random
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- Model-free variable selection for conditional mean in regression
- A scalable surrogate \(L_0\) sparse regression method for generalized linear models with applications to large scale data
- Averaging of an increasing number of moment condition estimators
- Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations
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- Variable screening for high dimensional time series
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- Adaptive conditional feature screening
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- Rank reduction for high-dimensional generalized additive models
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- Broken adaptive ridge regression and its asymptotic properties
- Feature screening for multi-response varying coefficient models with ultrahigh dimensional predictors
- Principles of experimental design for big data analysis
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- Model-free slice screening for ultrahigh-dimensional survival data
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- Sequential profile Lasso for ultra-high-dimensional partially linear models
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- A sequential approach to feature selection in high-dimensional additive models
- Forward selection for feature screening and structure identification in varying coefficient models
- Conditional feature screening for mean and variance functions in models with multiple-index structure
- Censored cumulative residual independent screening for ultrahigh-dimensional survival data
- Model‐free conditional screening for ultrahigh‐dimensional survival data via conditional distance correlation
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- Robust conditional nonparametric independence screening for ultrahigh-dimensional data
- Feature screening for nonparametric and semiparametric models with ultrahigh-dimensional covariates
- On Sure Screening with Multiple Responses
- High-dimensional variable screening through kernel-based conditional mean dependence
- Principal components adjusted variable screening
- A new nonparametric screening method for ultrahigh-dimensional survival data
- Adaptive model-free sure independence screening
- Nonparametric independence feature screening for ultrahigh-dimensional survival data
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