Marginal empirical likelihood and sure independence feature screening

DOI10.1214/13-AOS1139zbMATH Open1277.62109arXiv1306.4408OpenAlexW3104361694WikidataQ41863605 ScholiaQ41863605MaRDI QIDQ385789FDOQ385789

Authors: Jinyuan Chang, Cheng Yong Tang, Yichao Wu 

Publication date: 11 December 2013

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

Abstract: We study a marginal empirical likelihood approach in scenarios when the number of variables grows exponentially with the sample size. The marginal empirical likelihood ratios as functions of the parameters of interest are systematically examined, and we find that the marginal empirical likelihood ratio evaluated at zero can be used to differentiate whether an explanatory variable is contributing to a response variable or not. Based on this finding, we propose a unified feature screening procedure for linear models and the generalized linear models. Different from most existing feature screening approaches that rely on the magnitudes of some marginal estimators to identify true signals, the proposed screening approach is capable of further incorporating the level of uncertainties of such estimators. Such a merit inherits the self-studentization property of the empirical likelihood approach, and extends the insights of existing feature screening methods. Moreover, we show that our screening approach is less restrictive to distributional assumptions, and can be conveniently adapted to be applied in a broad range of scenarios such as models specified using general moment conditions. Our theoretical results and extensive numerical examples by simulations and data analysis demonstrate the merits of the marginal empirical likelihood approach.

Full work available at URL: https://arxiv.org/abs/1306.4408

Recommendations

• Marginal empirical likelihood independence screening in sparse ultra-high dimensional additive models
• Conditional sure independence screening by conditional marginal empirical likelihood
• Sure independence screening in generalized linear models with NP-dimensionality
• Local independence feature screening for nonparametric and semiparametric models by marginal empirical likelihood
• The sparse MLE for ultrahigh-dimensional feature screening

zbMATH Keywords

large deviationshigh-dimensional data analysissure independence screening

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Multivariate analysis (62H99)

Cites Work

• Sure independence screening in generalized linear models with NP-dimensionality
• Large Sample Properties of Generalized Method of Moments Estimators
• Model-free feature screening for ultrahigh-dimensional data
• Title not available (Why is that?)
• Statistics for high-dimensional data. Methods, theory and applications.
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Feature screening via distance correlation learning
• Longitudinal data analysis using generalized linear models
• Extending the scope of empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood
• Penalized high-dimensional empirical likelihood
• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• Empirical likelihood ratio confidence intervals for a single functional
• Nonparametric independence screening in sparse ultra-high-dimensional additive models
• Title not available (Why is that?)
• Improving generalised estimating equations using quadratic inference functions
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Factor profiled sure independence screening
• Effects of data dimension on empirical likelihood
• Title not available (Why is that?)
• A review on empirical likelihood methods for regression
• Penalized empirical likelihood and growing dimensional general estimating equations
• Marginal empirical likelihood and sure independence feature screening
• Robust rank correlation based screening
• A test for model specification of diffusion processes
• Sure independence screening and compressed random sensing
• Title not available (Why is that?)
• Incorporating Predictor Network in Penalized Regression with Application to Microarray Data

Cited In (58)

• Conditional characteristic feature screening for massive imbalanced data
• A model-averaging method for high-dimensional regression with missing responses at random
• Ranking-based variable selection for high-dimensional data
• A model-free conditional screening approach via sufficient dimension reduction
• A modified mean-variance feature-screening procedure for ultrahigh-dimensional discriminant analysis
• Partition-based feature screening for categorical data via RKHS embeddings
• Model-free forward screening via cumulative divergence
• Local independence feature screening for nonparametric and semiparametric models by marginal empirical likelihood
• A new scope of penalized empirical likelihood with high-dimensional estimating equations
• Variable screening for high dimensional time series
• Fused variable screening for massive imbalanced data
• A nonparametric feature screening method for ultrahigh-dimensional missing response
• Surrogate-variable-based model-free feature screening for survival data under the general censoring mechanism
• Marginal empirical likelihood and sure independence feature screening
• Copula-based Partial Correlation Screening: a Joint and Robust Approach
• Nonparametric independence screening via favored smoothing bandwidth
• Fused mean-variance filter for feature screening
• Marginal empirical likelihood independence screening in sparse ultra-high dimensional additive models
• Coordinatewise Gaussianization: Theories and Applications
• Feature screening for multi-response varying coefficient models with ultrahigh dimensional predictors
• Variable importance assessments and backward variable selection for multi-sample problems
• Category-adaptive variable screening for ultra-high dimensional heterogeneous categorical data
• Model-free slice screening for ultrahigh-dimensional survival data
• A general framework for tensor screening through smoothing
• On sufficient variable screening using log odds ratio filter
• Sufficient variable selection using independence measures for continuous response
• Screening-based Bregman divergence estimation with NP-dimensionality
• Conditional feature screening for mean and variance functions in models with multiple-index structure
• The fused Kolmogorov filter: a nonparametric model-free screening method
• A nonparametric procedure for linear and nonlinear variable screening
• Testing the martingale difference hypothesis in high dimension
• Asymptotic Properties of Marginal Least-Square Estimator for Ultrahigh-Dimensional Linear Regression Models with Correlated Errors
• On Sure Screening with Multiple Responses
• Self-normalization: taming a wild population in a heavy-tailed world
• Balanced augmented empirical likelihood for regression models
• Independence index sufficient variable screening for categorical responses
• Screening and selection for quantile regression using an alternative measure of variable importance
• Confidence regions for entries of a large precision matrix
• Conditional sure independence screening by conditional marginal empirical likelihood
• Model-free feature screening via distance correlation for ultrahigh dimensional survival data
• Conditional screening for ultrahigh-dimensional survival data in case-cohort studies
• Censored mean variance sure independence screening for ultrahigh dimensional survival data
• Nonparametric independence feature screening for ultrahigh-dimensional missing data
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• Model-free conditional screening via conditional distance correlation
• Conditional SIRS for nonparametric and semiparametric models by marginal empirical likelihood
• Joint feature screening for ultra-high-dimensional sparse additive hazards model by the sparsity-restricted pseudo-score estimator
• Wilks' theorem for semiparametric regressions with weakly dependent data
• GRID: a variable selection and structure discovery method for high dimensional nonparametric regression
• Nonparametric screening under conditional strictly convex loss for ultrahigh dimensional sparse data
• Interaction screening via canonical correlation
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
• Variable selection for categorical response: a comparative study
• Central limit theorems for high dimensional dependent data
• BOLT-SSI: A Statistical Approach to Screening Interaction Effects for Ultra-High Dimensional Data
• Adaptive sufficient sparse clustering by controlling false discovery
• Penalized Lq-likelihood estimator and its influence function in generalized linear models
• Empirical likelihood based confidence regions for functional of copulas

Uses Software

• ElemStatLearn

This page was built for publication: Marginal empirical likelihood and sure independence feature screening

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q385789)