Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
From MaRDI portal
Abstract: We introduce a quantile-adaptive framework for nonlinear variable screening with high-dimensional heterogeneous data. This framework has two distinctive features: (1) it allows the set of active variables to vary across quantiles, thus making it more flexible to accommodate heterogeneity; (2) it is model-free and avoids the difficult task of specifying the form of a statistical model in a high dimensional space. Our nonlinear independence screening procedure employs spline approximations to model the marginal effects at a quantile level of interest. Under appropriate conditions on the quantile functions without requiring the existence of any moments, the new procedure is shown to enjoy the sure screening property in ultra-high dimensions. Furthermore, the quantile-adaptive framework can naturally handle censored data arising in survival analysis. We prove that the sure screening property remains valid when the response variable is subject to random right censoring. Numerical studies confirm the fine performance of the proposed method for various semiparametric models and its effectiveness to extract quantile-specific information from heteroscedastic data.
Analyzing ultra-high-dimensional data with the number of features increasing at an exponential rate is a challenging problem. The first step in this data analysis problem is to use a fast screening procedure to reduce the dimension to a moderate scale. The authors propose a quantile-adaptive model-free screening procedure for this purpose. The approach allows the set of active variables to be different when modelling different conditional quantiles and is effective for analyzing high-dimensional data characterized by heteroscedasticity. The authors use a technique of estimating marginal quantile regression nonparametrically by means of B-spline approximations.
Recommendations
- Conditional quantile screening in ultrahigh-dimensional heterogeneous data
- Quantile-adaptive variable screening in ultra-high dimensional varying coefficient models
- Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations
- Conditional-quantile screening for ultrahigh-dimensional survival data via martingale difference correlation
- Conditional quantile correlation learing for ultrahigh dimensional varying coefficient models and its application in survival analysis
Cites work
- Additive regression and other nonparametric models
- Asymptotic properties of a generalized kaplan-meier estimator with some applications
- Bivariate tensor-product B-splines in a partly linear model
- Censored Regression Quantiles
- Feature screening via distance correlation learning
- scientific article; zbMATH DE number 49190 (Why is no real title available?)
- scientific article; zbMATH DE number 1953122 (Why is no real title available?)
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Local asymptotics for regression splines and confidence regions
- Locally weighted censored quantile regression
- Median regression and the missing information principle
- Model-free feature screening for ultrahigh-dimensional data
- Nonparametric independence screening in sparse ultra-high-dimensional additive models
- Principled sure independence screening for Cox models with ultra-high-dimensional covariates
- Probability Inequalities for Sums of Bounded Random Variables
- Quantile regression.
- Some applications of concentration inequalities to statistics
- Sure independence screening in generalized linear models with NP-dimensionality
- Survival Analysis with Median Regression Models
- Survival Analysis With Quantile Regression Models
- The product-limit estimator and the bootstrap: Some asymptotic representations
- Ultrahigh dimensional feature selection: beyond the linear model
- Variable selection in high-dimensional linear models: partially faithful distributions and the PC-simple algorithm
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Weak convergence and empirical processes. With applications to statistics
Cited in
(only showing first 100 items - show all)- Feature screening for time-varying coefficient models with ultrahigh-dimensional longitudinal data
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Conditional feature screening for mean and variance functions in models with multiple-index structure
- Conditional quantile correlation screening procedure for ultrahigh-dimensional varying coefficient models
- Feature selection of ultrahigh-dimensional covariates with survival outcomes: a selective review
- Ultrahigh dimensional feature screening via projection
- Principal components adjusted variable screening
- Adaptive conditional feature screening
- A new nonparametric screening method for ultrahigh-dimensional survival data
- Robust feature screening for ultra-high dimensional right censored data via distance correlation
- Fused mean-variance filter for feature screening
- Adjusted Pearson chi-square feature screening for multi-classification with ultrahigh dimensional data
- Model-free feature screening for ultrahigh dimensional censored regression
- Covariance-insured screening
- Feature screening in ultrahigh-dimensional partially linear models with missing responses at random
- Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations
- Hypothesis testing sure independence screening for nonparametric regression
- Conditional mean and quantile dependence testing in high dimension
- Oracle inequalities for sparse additive quantile regression in reproducing kernel Hilbert space
- Nonparametric independence feature screening for ultrahigh-dimensional survival data
- Broken adaptive ridge regression and its asymptotic properties
- Model-free feature screening for high-dimensional survival data
- Conditional-quantile screening for ultrahigh-dimensional survival data via martingale difference correlation
- Measuring and testing for interval quantile dependence
- Model-free feature screening for ultra-high dimensional competing risks data
- Fused variable screening for massive imbalanced data
- A nonparametric feature screening method for ultrahigh-dimensional missing response
- A note on quantile feature screening via distance correlation
- An efficient algorithm for joint feature screening in ultrahigh-dimensional Cox's model
- Learning sparse conditional distribution: an efficient kernel-based approach
- Model averaging marginal regression for high dimensional conditional quantile prediction
- Model-free feature screening via distance correlation for ultrahigh dimensional survival data
- Feature screening for ultrahigh-dimensional survival data when failure indicators are missing at random
- Conditional screening for ultrahigh-dimensional survival data in case-cohort studies
- Unified mean-variance feature screening for ultrahigh-dimensional regression
- Asset selection based on high frequency Sharpe ratio
- Surrogate-variable-based model-free feature screening for survival data under the general censoring mechanism
- A general framework for tensor screening through smoothing
- On sufficient variable screening using log odds ratio filter
- Variable screening for varying coefficient models with ultrahigh-dimensional survival data
- Feature screening and FDR control with knockoff features for ultrahigh-dimensional right-censored data
- Model-free conditional screening via conditional distance correlation
- Penalized generalized empirical likelihood with a diverging number of general estimating equations for censored data
- Joint model-free feature screening for ultra-high dimensional semi-competing risks data
- Feature screening under missing indicator imputation with non-ignorable missing response
- Regularized quantile regression for ultrahigh-dimensional data with nonignorable missing responses
- Conditional SIRS for nonparametric and semiparametric models by marginal empirical likelihood
- Robust dimension reduction using sliced inverse median regression
- Consistent group selection with Bayesian high dimensional modeling
- Forward regression for Cox models with high-dimensional covariates
- Screening and selection for quantile regression using an alternative measure of variable importance
- Sufficient variable selection using independence measures for continuous response
- Feature screening for ultrahigh-dimensional censored data with varying coefficient single-index model
- Nonparametric screening under conditional strictly convex loss for ultrahigh dimensional sparse data
- Penalized empirical likelihood for the sparse Cox regression model
- Adaptively weighted group Lasso for semiparametric quantile regression models
- Joint feature screening for ultra-high-dimensional sparse additive hazards model by the sparsity-restricted pseudo-score estimator
- Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
- Model-free feature screening via a modified composite quantile correlation
- A unified penalized method for sparse additive quantile models: an RKHS approach
- Nonparametric independence screening for ultra-high dimensional generalized varying coefficient models with longitudinal data
- Correction to: ``Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
- The fused Kolmogorov filter: a nonparametric model-free screening method
- Feature screening for high-dimensional survival data via censored quantile correlation
- Entropy-based model-free feature screening for ultrahigh-dimensional multiclass classification
- Adaptive LASSO model selection in a multiphase quantile regression
- Grouped feature screening for ultra-high dimensional data for the classification model
- Score test variable screening
- Nonparametric independence screening for ultra-high-dimensional longitudinal data under additive models
- Bayesian neural networks for selection of drug sensitive genes
- Greedy forward regression for variable screening
- An adaptive composite quantile approach to dimension reduction
- Quantile screening for ultra-high-dimensional heterogeneous data conditional on some variables
- Model-free conditional feature screening for ultra-high dimensional right censored data
- Model Selection via Bayesian Information Criterion for Quantile Regression Models
- Copula-based Partial Correlation Screening: a Joint and Robust Approach
- A model-free conditional screening approach via sufficient dimension reduction
- A model-averaging method for high-dimensional regression with missing responses at random
- Robust feature screening for high-dimensional survival data
- On Sure Screening with Multiple Responses
- Efficient kernel-based variable selection with sparsistency
- Sparse Composite Quantile Regression with Ultra-high Dimensional Heterogeneous Data
- Model-free feature screening for ultrahigh dimensional data via a Pearson chi-square based index
- Prior Knowledge Guided Ultra-High Dimensional Variable Screening With Application to Neuroimaging Data
- Model-free survival conditional feature screening
- Robust feature screening for varying coefficient models via quantile partial correlation
- Conditional distance correlation sure independence screening for ultra-high dimensional survival data
- Non-marginal feature screening for additive hazard model with ultrahigh-dimensional covariates
- A model-free feature screening approach based on kernel density estimation
- Variable screening for ultrahigh dimensional censored quantile regression
- Ultrahigh dimensional feature screening for additive model with multivariate response
- Model-free forward screening via cumulative divergence
- Category-adaptive variable screening for ultra-high dimensional heterogeneous categorical data
- The L_q-norm learning for ultrahigh-dimensional survival data: an integrative framework
- Ranking-based variable selection for high-dimensional data
- Quantile-adaptive variable screening in ultra-high dimensional varying coefficient models
- A robust variable screening method for high-dimensional data
- Feature screening for network autoregression model
- Optimal minimax variable selection for large-scale matrix linear regression model
- Robust rank screening for ultrahigh dimensional discriminant analysis
This page was built for publication: Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1952454)
