Variable screening based on Gaussian centered L-moments

DOI10.1016/J.CSDA.2022.107632MaRDI QIDQ6166905zbMATH OpenOpenAlexFDO

Authors Hyowon An, Kai Zhang, Hannu Oja, J. S. Marron

Publication date 7 July 2023

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.11048

zbMATH Keywords

kurtosisL-momentsL-statisticsrobust statisticsskewness

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: An important challenge in big data is identification of important variables. In this paper, we propose methods of discovering variables with non-standard univariate marginal distributions. The conventional moments-based summary statistics can be well-adopted for that purpose, but their sensitivity to outliers can lead to selection based on a few outliers rather than distributional shape such as bimodality. To address this type of non-robustness, we consider the L-moments. Using these in practice, however, has a limitation because they do not take zero values at the Gaussian distributions to which the shape of a marginal distribution is most naturally compared. As a remedy, we propose Gaussian Centered L-moments which share advantages of the L-moments but have zeros at the Gaussian distributions. The strength of Gaussian Centered L-moments over other conventional moments is shown in theoretical and practical aspects such as their performances in screening important genes in cancer genetics data.

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