Sufficient variable selection using independence measures for continuous response

Baoying Yang, Xiangrong Yin and Nan Zhang

Journal of Multivariate Analysis, 2019, vol. 173, issue C, 480-493

Abstract: We propose two sufficient variable selection procedures, i.e., one- and two-stage approaches using independence measures for continuous response, illustrated by distance correlation and the Hilbert–Schmidt Independence Criterion correlation. We show the advantages of the proposed procedures over some existing marginal screening methods through simulations and a real data analysis. Our procedures are model-free and thus robust against model mis-specification. They are particularly useful when some active predictors are marginally independent of the response.

Keywords: Distance correlation; Hilbert–Schmidt independence criterion; Independence test; Marginal feature screening; Sufficient variable selection (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.jmva.2019.04.006

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