The cumulative Kolmogorov filter for model-free screening in ultrahigh dimensional data

Arlene Kyoung Hee Kim and Seung Jun Shin

Statistics & Probability Letters, 2017, vol. 126, issue C, 238-243

Abstract: We propose a cumulative Kolmogorov filter to improve the fused Kolmogorov filter proposed by Mai and Zou (2015) via cumulative slicing. We establish an improved asymptotic result under relaxed assumptions and numerically demonstrate its enhanced finite sample performance.

Keywords: Cumulative slicing; Kolmogorov filter; Model-free marginal screening (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.03.012

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