Robust model-free feature screening via quantile correlation
نویسندگان
چکیده
منابع مشابه
Variable screening via quantile partial correlation.
In quantile linear regression with ultra-high dimensional data, we propose an algorithm for screening all candidate variables and subsequently selecting relevant predictors. Specifically, we first employ quantile partial correlation for screening, and then we apply the extended Bayesian information criterion (EBIC) for best subset selection. Our proposed method can successfully select predictor...
متن کاملSupplemental Materials for “Variable screening via quantile partial” correlation
In this document, we first provide the proofs for Lemmas A.1-A.5. Then, we present additional simulation results for Examples 1-3. Specifically, We report the results for the moderate correlation coefficient ρ = 0.5 in Examples 1 and 2. In addition, we report the results for p = 2, 000 in Example 1. In Example 2, because p = 2, 000 yields similar performance to that of p = 1, 000, we do not rep...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2016
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2015.10.010