Variable selection of Kolmogorov-Smirnov maximization with a penalized surrogate loss

DOI10.1016/J.CSDA.2024.107944zbMATH Open1543.62123MaRDI QIDQ6573288FDOQ6573288

Authors: Xiefang Lin, Fang Fang 

Publication date: 16 July 2024

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

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zbMATH Keywords

oracle propertybinary classificationcredit scoringvariable selection consistencynonconcave penalty

Mathematics Subject Classification ID

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

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Sliced Inverse Regression for Dimension Reduction
• Regression analysis under link violation
• The effect of link misspecification on binary regression inference
• Good practice in retail credit scorecard assessment
• Convexity, Classification, and Risk Bounds
• Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator
• The Limiting Distribution of the Maximum Rank Correlation Estimator
• The Kolmogorov filter for variable screening in high-dimensional binary classification
• A note on iterative marginal optimization: a simple algorithm for maximum rank correlation estimation
• Smoothed rank correlation of the linear transformation regression model
• Variable selection of generalized regression models based on maximum rank correlation
• Model-free feature screening for ultrahigh dimensional discriminant analysis
• A new approach for credit scoring by directly maximizing the Kolmogorov-Smirnov statistic

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