Robust conditional nonparametric independence screening for ultrahigh-dimensional data

Shucong Zhang, Jing Pan and Yong Zhou

Statistics & Probability Letters, 2018, vol. 143, issue C, 95-101

Abstract: This article novelly proposes a robust model-free screening procedure, which performs well for a variety of semivarying coefficient models. Under technical conditions, we show that it possesses the ranking consistency property and the sure screening property. Comprehensive simulation studies are conducted to demonstrate that it exhibits more competitive performance than existing screening methods.

Keywords: Feature screening; Semivarying coefficient models; Sure screening property; Ultrahigh-dimensional (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.08.003

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