Economics at your fingertips  

Feature screening for multi-response varying coefficient models with ultrahigh dimensional predictors

Jun Lu and Lu Lin

Computational Statistics & Data Analysis, 2018, vol. 128, issue C, 242-254

Abstract: This article investigates the feature screening procedure for multivariate response varying coefficient linear models. A new conditional canonical correlation coefficient is proposed to characterize the correlation between each predictor and the multivariate response. It is shown that the proposed method is more powerful to distinguish the informative features from the noises than the existing competitors, especially for the case of high-dimensional response. The ranking consistency and the sure screening property are established for the new method. Meanwhile, an iterative version of the feature screening procedure is also introduced. Both the numerical simulations and real data analysis are conducted to illustrate the effectiveness of our method.

Keywords: Ultrahigh dimensionality; Multivariate response; Varying coefficient; Conditional canonical correlation; Sure independence screening (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2018-11-10
Handle: RePEc:eee:csdana:v:128:y:2018:i:c:p:242-254