An iterative approach to distance correlation-based sure independence screening

doi:10.1080/00949655.2014.928820

CORC > 上海财经大学 > 上海财经大学

	An iterative approach to distance correlation-based sure independence screening
	Zhong, Wei 1,2; Zhu, Liping 3
刊名	JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
	2015-07-24
卷号	85 期号:11 页码:2331-2345
关键词	independence screening variable selection sure screening property ultrahigh dimensionality distance correlation
ISSN号	0094-9655
DOI	10.1080/00949655.2014.928820
英文摘要	Feature screening and variable selection are fundamental in analysis of ultrahigh-dimensional data, which are being collected in diverse scientific fields at relatively low cost. Distance correlation-based sure independence screening (DC-SIS) has been proposed to perform feature screening for ultrahigh-dimensional data. The DC-SIS possesses sure screening property and filters out unimportant predictors in a model-free manner. Like all independence screening methods, however, it fails to detect the truly important predictors which are marginally independent of the response variable due to correlations among predictors. When there are many irrelevant predictors which are highly correlated with some strongly active predictors, the independence screening may miss other active predictors with relatively weak marginal signals. To improve the performance of DC-SIS, we introduce an effective iterative procedure based on distance correlation to detect all truly important predictors and potentially interactions in both linear and nonlinear models. Thus, the proposed iterative method possesses the favourable model-free and robust properties. We further illustrate its excellent finite-sample performance through comprehensive simulation studies and an empirical analysis of the rat eye expression data set.
WOS研究方向	Computer Science ; Mathematics
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000353464300003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1514]
专题	上海财经大学
通讯作者	Zhu, Liping
作者单位	1.Xiamen Univ, Wang Yanan Inst Studies Econ, Dept Stat, Xiamen 361005, Peoples R China; 2.Xiamen Univ, Fujian Key Lab Stat Sci, Xiamen 361005, Peoples R China; 3.Shanghai Univ Finance & Econ, Sch Stat & Management, Key Lab Math Econ, Minist Educ, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Zhong, Wei,Zhu, Liping. An iterative approach to distance correlation-based sure independence screening[J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION,2015,85(11):2331-2345.
APA	Zhong, Wei,&Zhu, Liping.(2015).An iterative approach to distance correlation-based sure independence screening.JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION,85(11),2331-2345.
MLA	Zhong, Wei,et al."An iterative approach to distance correlation-based sure independence screening".JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION 85.11(2015):2331-2345.