Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations

doi:10.1016/j.jmva.2017.11.005

CORC > 上海财经大学 > 上海财经大学

	Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations
	Zhang, Shucong 1; Zhou, Yong 1,2
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2018-05
卷号	165 页码:1-13
关键词	Conditional quantile correlation Conditional quantile screening Ultrahigh dimensionality Varying coefficient models
ISSN号	0047-259X
DOI	10.1016/j.jmva.2017.11.005
英文摘要	In this article, we propose a new conditional quantile correlation and establish its connection with conditional quantile regression coefficient functions. We further introduce a conditional quantile screening method based on this metric for varying coefficient models with ultrahigh dimensional features. Under some technical conditions, the proposed approach is shown to enjoy desirable theoretical properties, including ranking consistency and sure screening properties. The extent of the new method's dimensionality reduction is also qualified. To reduce the false selection rate, an iterative algorithm is proposed for improving the accuracy of variable screening. We conduct simulation studies to demonstrate that the proposed screening method can perform reasonably well, and we illustrate the proposed methodology through a real data analysis. (C) 2017 Elsevier Inc. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000428360200001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/631]
专题	上海财经大学
通讯作者	Zhang, Shucong
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Shucong,Zhou, Yong. Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2018,165:1-13.
APA	Zhang, Shucong,&Zhou, Yong.(2018).Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations.JOURNAL OF MULTIVARIATE ANALYSIS,165,1-13.
MLA	Zhang, Shucong,et al."Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations".JOURNAL OF MULTIVARIATE ANALYSIS 165(2018):1-13.