Model-free variable selection for conditional mean in regression

被引：1

作者：

Dong, Yuexiao ^{[1
]}

Yu, Zhou ^{[2
]}

Zhu, Liping ^{[3
]}

机构：

[1] Temple Univ, Dept Stat Sci, Philadelphia, PA 19122 USA

[2] East China Normal Univ, Sch Stat, Shanghai, Peoples R China

[3] Renmin Univ China, Inst Stat & Big Data, Beijing, Peoples R China

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2020年 / 152卷 / 152期

基金：

北京市自然科学基金; 中国国家自然科学基金;

关键词：

Stepwise regression; Sure independence screening; Variable selection consistency; SUFFICIENT DIMENSION REDUCTION; GENERALIZED LINEAR-MODELS; SLICED INVERSE REGRESSION; PURSUIT;

D O I：

10.1016/j.csda.2020.107042

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：9

共 50 条

[1] Shrinkage inverse regression estimation for model-free variable selection
Bondell, Howard D.
Li, Lexin
[J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2009, 71 : 287 - 299
[2] Model-free variable selection
Li, LX
Cook, RD
Nachtsheim, CJ
[J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2005, 67 : 285 - 299
[3] MODEL-FREE COORDINATE TEST AND VARIABLE SELECTION VIA DIRECTIONAL REGRESSION
Yu, Zhou
Dong, Yuexiao
[J]. STATISTICA SINICA, 2016, 26 (03) : 1159 - 1174
[4] GRADIENT-INDUCED MODEL-FREE VARIABLE SELECTION WITH COMPOSITE QUANTILE REGRESSION
He, Xin
Wang, Junhui
Lv, Shaogao
[J]. STATISTICA SINICA, 2018, 28 (03) : 1521 - 1538
[5] Knockoff boosted tree for model-free variable selection
Jiang, Tao
Li, Yuanyuan
Motsinger-Reif, Alison A.
[J]. BIOINFORMATICS, 2021, 37 (07) : 976 - 983
[6] MODEL-FREE SELECTION OF ORDERED AND CONTINUOUS VARIABLE COMBINATIONS
TARTER, ME
HILBERMANN, M
KAMM, B
[J]. AMERICAN JOURNAL OF EPIDEMIOLOGY, 1974, 100 (06) : 529 - 529
[7] On dual model-free variable selection with two groups of variables
Alothman, Ahmad
Dong, Yuexiao
Artemiou, Andreas
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2018, 167 : 366 - 377
[8] Trace Pursuit: A General Framework for Model-Free Variable Selection
Yu, Zhou
Dong, Yuexiao
Zhu, Li-Xing
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2016, 111 (514) : 813 - 821
[9] Multiple Loci Mapping via Model-free Variable Selection
Sun, Wei
Li, Lexin
[J]. BIOMETRICS, 2012, 68 (01) : 12 - 22
[10] Model-Free Variable Selection With Matrix-Valued Predictors
Li, Zeda
Dong, Yuexiao
[J]. JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 2021, 30 (01) : 171 - 181

← 1 2 3 4 5 →