Variance ratio screening for ultrahigh dimensional discriminant analysis

Fengli Song, Peng Lai, Baohua Shen and Guosheng Cheng

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 24, 6034-6051

Abstract: This article is concerned with feature screening for the ultrahigh dimensional discriminant analysis. A variance ratio screening method is proposed and the sure screening property of this screening procedure is proved. The proposed method has some additional desirable features. First, it is model-free which does not require specific discriminant model and can be directly applied to the multi-categories situation. Second, it can effectively screen main effects and interaction effects simultaneously. Third, it is relatively inexpensive in computational cost because of the simple structure. The finite sample properties are performed through the Monte Carlo simulation studies and two real-data analyses.

Date: 2018
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DOI: 10.1080/03610926.2017.1406113

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