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
- Dynamic tilted current correlation for high dimensional variable screening
- Semiparametric model average prediction in panel data analysis
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- Feature screening for network autoregression model
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- A note on quantile feature screening via distance correlation
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- Sufficient variable selection using independence measures for continuous response
- Feature screening and FDR control with knockoff features for ultrahigh-dimensional right-censored data
- Principal varying coefficient estimator for high-dimensional models
- A nonparametric procedure for linear and nonlinear variable screening
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- Group screening for ultra-high-dimensional feature under linear model
- Learning sparse conditional distribution: an efficient kernel-based approach
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- Feature selection for generalized varying coefficient mixed-effect models with application to obesity GWAS
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- Remodeling and estimation for sparse partially linear regression models
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- Sparse Composite Quantile Regression with Ultra-high Dimensional Heterogeneous Data
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- Fast feature selection via streamwise procedure for massive data
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- 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
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- Feature screening via distance correlation learning
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- 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
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- Model-free sure screening via maximum correlation
- Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
- 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
- Feature screening in ultrahigh-dimensional additive Cox model
- Variable selection for additive model via cumulative ratios of empirical strengths total
- Simultaneous variable selection and estimation in semiparametric modeling of longitudinal/clustered data
- Global sensitivity analysis with dependence measures
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- 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
- Feature screening for time-varying coefficient models with ultrahigh-dimensional longitudinal data
- Sure independence screening in generalized linear models with NP-dimensionality
- Measuring and testing for interval quantile dependence
- Variable selection for fixed effects varying coefficient models
- A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models
- Semiparametric model averaging prediction for dichotomous response
- Censored mean variance sure independence screening for ultrahigh dimensional survival data
- Asymptotic normality of DHD estimators in a partially linear model
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