Feature Selection for Varying Coefficient Models With Ultrahigh-Dimensional Covariates

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	Feature Selection for Varying Coefficient Models With Ultrahigh-Dimensional Covariates
	Liu, Jingyuan ; Li, Runze ; Wu, Rongling ; Liu JY(刘婧媛)
刊名	http://dx.doi.org/10.1080/01621459.2013.850086
	2014
关键词	VARIABLE SELECTION ORACLE PROPERTIES REGRESSION LIKELIHOOD SHRINKAGE LASSO
英文摘要	National Institute on Drug Abuse (NIDA) [P50-DA10075]; National Cancer Institute (NCI) [R01 CA168676]; National Natural Science Foundation of China [11028103]; NSF [IOS-0923975]; NIH [UL1RR0330184]; This article is concerned with feature screening and variable selection for varying coefficient models with ultrahigh-dimensional covariates. We propose a new feature screening procedure for these models based on conditional correlation coefficient. We systematically study the theoretical properties of the proposed procedure, and establish their sure screening property and the ranking consistency. To enhance the finite sample performance of the proposed procedure, we further develop an iterative feature screening procedure. Monte Carlo simulation studies were conducted to examine the performance of the proposed procedures. In practice, we advocate a two-stage approach for varying coefficient models. The two-stage approach consists of (a) reducing the ultrahigh dimensionality by using the proposed procedure and (b) applying regularization methods for dimension-reduced varying coefficient models to make statistical inferences on the coefficient functions. We illustrate the proposed two-stage approach by a real data example. Supplementary materials for this article are available online.
语种	英语
出版者	AMER STATISTICAL ASSOC
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90194]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Liu, Jingyuan,Li, Runze,Wu, Rongling,et al. Feature Selection for Varying Coefficient Models With Ultrahigh-Dimensional Covariates[J]. http://dx.doi.org/10.1080/01621459.2013.850086,2014.
APA	Liu, Jingyuan,Li, Runze,Wu, Rongling,&刘婧媛.(2014).Feature Selection for Varying Coefficient Models With Ultrahigh-Dimensional Covariates.http://dx.doi.org/10.1080/01621459.2013.850086.
MLA	Liu, Jingyuan,et al."Feature Selection for Varying Coefficient Models With Ultrahigh-Dimensional Covariates".http://dx.doi.org/10.1080/01621459.2013.850086 (2014).