Variable selection for high dimensional Gaussian copula regression model: An adaptive hypothesis testing procedure

doi:10.1016/j.csda.2018.03.003

CORC > 上海财经大学 > 上海财经大学

	Variable selection for high dimensional Gaussian copula regression model: An adaptive hypothesis testing procedure
	He, Yong 1; Zhang, Xinsheng 2; Zhang, Liwen 3
刊名	COMPUTATIONAL STATISTICS & DATA ANALYSIS
	2018-08
卷号	124 页码:132-150
关键词	Gaussian copula regression Variable selection Multiple testing FDR/FDV
ISSN号	0167-9473
DOI	10.1016/j.csda.2018.03.003
英文摘要	In this paper we consider the variable selection problem for high dimensional Gaussian copula regression model. We transform the variable selection problem into a multiple testing problem. Compared to the existing methods depending on regularization or a step-wise algorithm, our method avoids the ambiguous relationship between the regularized parameter and the number of false discovered variables or the decision of a stopping rule. We exploit nonparametric rank-based correlation coefficient estimators to construct our test statistics which achieve robustness and adaptivity to the unknown monotone marginal transformations. We show that our multiple testing procedure can control the false discovery rate (FDR) or the average number of falsely discovered variables (FDV) asymptotically. We also propose a screening multiple testing procedure to deal with the extremely high dimensional setting. Besides theoretical analysis, we also conduct numerical simulations to compare the variable selection performance of our method with some state-of-the-art methods. The proposed method is also applied on a communities and crime unnormalized data set to illustrate its empirical usefulness. (C) 2018 Elsevier B.V. All rights reserved.
WOS研究方向	Computer Science ; Mathematics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000432230600009
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/569]
专题	上海财经大学
通讯作者	Zhang, Liwen
作者单位	1.Shandong Univ Finance & Econ, Sch Stat, Jinan 250014, Shandong, Peoples R China; 2.Fudan Univ, Sch Management, Shanghai 200433, Peoples R China; 3.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	He, Yong,Zhang, Xinsheng,Zhang, Liwen. Variable selection for high dimensional Gaussian copula regression model: An adaptive hypothesis testing procedure[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2018,124:132-150.
APA	He, Yong,Zhang, Xinsheng,&Zhang, Liwen.(2018).Variable selection for high dimensional Gaussian copula regression model: An adaptive hypothesis testing procedure.COMPUTATIONAL STATISTICS & DATA ANALYSIS,124,132-150.
MLA	He, Yong,et al."Variable selection for high dimensional Gaussian copula regression model: An adaptive hypothesis testing procedure".COMPUTATIONAL STATISTICS & DATA ANALYSIS 124(2018):132-150.