Model-free variable selection for conditional mean in regression

Yuexiao Dong, Zhou Yu and Liping Zhu

Computational Statistics & Data Analysis, 2020, vol. 152, issue C

Abstract: A novel test statistic is proposed to identify important predictors for the conditional mean function in regression. The stepwise regression algorithm based on the proposed test statistic guarantees variable selection consistency without specifying the functional form of the conditional mean. When the predictors are ultrahigh dimensional, a model-free screening procedure is introduced to precede the stepwise regression algorithm. The screening procedure has the sure screening property when the number of predictors grows at an exponential rate of the available sample size. The finite-sample performances of our proposals are demonstrated via numerical studies.

Keywords: Stepwise regression; Sure independence screening; Variable selection consistency (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:152:y:2020:i:c:s016794732030133x

DOI: 10.1016/j.csda.2020.107042

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