Statistical challenges with high dimensionality: feature selection in knowledge discovery

zbMATH Open1117.62137arXivmath/0602133MaRDI QIDQ5491004FDOQ5491004

Authors: Jianqing Fan, Runze Li 

Publication date: 26 September 2006

Full work available at URL: https://arxiv.org/abs/math/0602133

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zbMATH Keywords

AIC, BIC, LASSO, bioinformatics, financial econometrics, model selection, oracle property, penalized likelihood, persistent, SCAD, statistical learning

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear inference, regression (62J99) Foundations and philosophical topics in statistics (62A01) Applications of statistics (62P99)

Cited In (98)

• A selective overview of feature screening for ultrahigh-dimensional data
• Testing for independence of large dimensional vectors
• Recovery of partly sparse and dense signals
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• On penalized estimation for dynamical systems with small noise
• Robust variable selection for finite mixture regression models
• Estimation and variable selection for generalized additive partial linear models
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• Simultaneous change point analysis and variable selection in a regression problem
• Robust rank correlation based screening
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Bayesian variable selection for high dimensional generalized linear models: convergence rates of the fitted densities
• When do stepwise algorithms meet subset selection criteria?
• Hypothesis testing on linear structures of high-dimensional covariance matrix
• On the adaptive elastic net with a diverging number of parameters
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• On the ``degrees of freedom of the lasso
• Finding causative genes from high-dimensional data: an appraisal of statistical and machine learning approaches
• Robust variable selection through MAVE
• A generalized quantile regression model
• A framework of irregularity enlightenment for data pre-processing in data mining
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• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
• Penalized variable selection in competing risks regression
• Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression
• The essential ability of sparse reconstruction of different compressive sensing strategies
• Variable selection via combined penalization for high-dimensional data analysis
• One-step sparse estimates in nonconcave penalized likelihood models
• Likelihood ratio tests for many groups in high dimensions
• Error variance estimation in ultrahigh-dimensional additive models
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Variable selection for generalized varying coefficient partially linear models with diverging number of parameters
• Profile forward regression screening for ultra-high dimensional semiparametric varying coefficient partially linear models
• Shrinkage and model selection with correlated variables via weighted fusion
• Consistent tuning parameter selection in high dimensional sparse linear regression
• A new test for the mean vector in large dimension and small samples
• High-dimensional classification using features annealed independence rules
• An M-estimation-based criterion for simultaneous change point analysis and variable selection in a regression problem
• Regularization in statistics
• Impacts of high dimensionality in finite samples
• Statistical significance of the Netflix challenge
• Composite quantile regression and the oracle model selection theory
• Rejoinder: One-step sparse estimates in nonconcave penalized likelihood models
• Simultaneous variable selection for heteroscedastic regression models
• Tuning parameter selection in penalized generalized linear models for discrete data
• Graph-based spatial segmentation of areal data
• Different thresholding methods on Nearest Shrunken Centroid algorithm
• Likelihood ratio tests under model misspecification in high dimensions
• On the use of cross-validation for the calibration of the adaptive Lasso
• Continuous exact relaxation and alternating proximal gradient algorithm for partial sparse and partial group sparse optimization problems
• Variable selection techniques after multiple imputation in high-dimensional data
• A new variable selection method for uniform designs
• Regularized bridge-type estimation with multiple penalties
• Kronecker delta method for testing independence between two vectors in high-dimension
• On the advantages of the non-concave penalized likelihood model selection method with minimum prediction errors in large-scale medical studies
• Linear spectral statistics of sequential sample covariance matrices
• Online capacity planning for rehabilitation treatments: an approximate dynamic programming approach
• Statistical quality control using image intelligence: A sparse learning approach
• Fluctuations of the diagonal entries of a large sample precision matrix
• Variable selection using \(L_q\) penalties
• Jackknife model averaging for high‐dimensional quantile regression
• Shrinkage quantile regression for panel data with multiple structural breaks
• A permutational-splitting sample procedure to quantify expert opinion on clusters of chemical compounds using high-dimensional data
• Statistical plasmode simulations-potentials, challenges and recommendations
• Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed
• Design of input assignment and feedback gain for re‐stabilizing undirected networks with High‐Dimension Low‐Sample‐Size data
• Monitoring of group-structured high-dimensional processes via sparse group Lasso
• New robust variable selection methods for linear regression models
• Consistent significance controlled variable selection in high-dimensional regression
• Title not available (Why is that?)
• Computation of second-order directional stationary points for group sparse optimization
• Variable Selection With Second-Generation P-Values
• Solving constrained nonsmooth group sparse optimization via group Capped-\(\ell_1\) relaxation and group smoothing proximal gradient algorithm
• Feature selection in ultrahigh-dimensional additive models with heterogeneous frequency component functions
• COMBSS: best subset selection via continuous optimization
• Features Selection as a Nash-Bargaining Solution: Applications in Online Advertising and Information Systems
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• High-dimensional Varying Index Coefficient Quantile Regression Model
• A high-dimensional classification rule using sample covariance matrix equipped with adjusted estimated eigenvalues
• Sure independence screening for analyzing supersaturated designs

Uses Software

• rda
• SemiPar
• AdaBoost.MH

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