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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- Statistical inference in sparse high-dimensional additive models
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- Feature screening for ultrahigh-dimensional censored data with varying coefficient single-index model
- A selective overview of feature screening for ultrahigh-dimensional data
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- Fast robust feature screening for ultrahigh-dimensional varying coefficient models
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- 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
- Hypothesis testing sure independence screening for nonparametric regression
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- Correlation rank screening for ultrahigh-dimensional survival data
- Model free feature screening for ultrahigh dimensional data with responses missing at random
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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
- Screening and clustering of sparse regressions with finite non-Gaussian mixtures
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- Model-free slice screening for ultrahigh-dimensional survival data
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- Model-free feature screening for ultrahigh dimensional classification
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- Composite quantile regression for ultra-high dimensional semiparametric model averaging
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- Score test variable screening
- Entropy-based model-free feature screening for ultrahigh-dimensional multiclass classification
- Non-marginal feature screening for additive hazard model with ultrahigh-dimensional covariates
- Feature screening in ultrahigh-dimensional varying-coefficient Cox model
- Semiparametric Bayesian information criterion for model selection in ultra-high dimensional additive models
- Goodness-of-fit testing-based selection for large-\(p\)-small-\(n\) problems: a two-stage ranking approach
- Neuronized Priors for Bayesian Sparse Linear Regression
- Model selection for high-dimensional quadratic regression via regularization
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- Feature screening via distance correlation learning
- Variable selection for high dimensional Gaussian copula regression model: an adaptive hypothesis testing procedure
- Feature selection for varying coefficient models with ultrahigh-dimensional covariates
- Fast Bayesian variable selection for high dimensional linear models: marginal solo spike and slab priors
- Model-free conditional independence feature screening for ultrahigh dimensional data
- Model-free feature screening for ultrahigh-dimensional data conditional on some variables
- Model-free sure screening via maximum correlation
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- Ultrahigh dimensional time course feature selection
- Local independence feature screening for nonparametric and semiparametric models by marginal empirical likelihood
- Parametric and semiparametric reduced-rank regression with flexible sparsity
- Marginal empirical likelihood and sure independence feature screening
- Martingale difference correlation and its use in high-dimensional variable screening
- Estimation and model selection in generalized additive partial linear models for correlated data with diverging number of covariates
- Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models
- Nonparametric variable selection and its application to additive models
- Semiparametric regression models with additive nonparametric components and high dimensional parametric components
- Robust rank correlation based screening
- High dimensional single index models
- Sure independence screening in ultrahigh dimensional generalized additive models
- Sparse model identification and learning for ultra-high-dimensional additive partially linear models
- Nonparametric independence screening for ultra-high dimensional generalized varying coefficient models with longitudinal data
- Adaptively weighted group Lasso for semiparametric quantile regression models
- The fused Kolmogorov filter: a nonparametric model-free screening method
- A flexible semiparametric forecasting model for time series
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- Simultaneous variable selection and estimation in semiparametric modeling of longitudinal/clustered data
- Global sensitivity analysis with dependence measures
- Spline estimator for simultaneous variable selection and constant coefficient identification in high-dimensional generalized varying-coefficient models
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
- Component selection in additive quantile regression models
- Focused information criterion and model averaging for generalized additive partial linear models
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