Independence index sufficient variable screening for categorical responses

Qingcong Yuan, Xianyan Chen, Chenlu Ke and Xiangrong Yin

Computational Statistics & Data Analysis, 2022, vol. 174, issue C

Abstract: Variable screening is very popular in modern data analysis and is particularly useful for large p small n data. In this paper, a novel two-stage sufficient variable screening procedure, especially when the response is categorical is proposed. This procedure is very general and model-free, thus is robust against model mis-specification. In addition, the proposed procedure always improves existing screening approach in literature which only uses marginal relation. Asymptotic results and sure screening properties of the proposed methods are proved. Numerical studies and real data analysis are provided to demonstrate the advantages of the proposed method.

Keywords: Independence index; Sufficient variable screening; Categorical response (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322001104

DOI: 10.1016/j.csda.2022.107530

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