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Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations
Zhang, Shucong1; Zhou, Yong1,2
2018-05-01
Source PublicationJOURNAL OF MULTIVARIATE ANALYSIS
ISSN0047-259X
Volume165Pages:1-13
AbstractIn 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.
KeywordConditional quantile correlation Conditional quantile screening Ultrahigh dimensionality Varying coefficient models
DOI10.1016/j.jmva.2017.11.005
Language英语
Funding ProjectNational Natural Science Foundation of China[11771267] ; National Natural Science Foundation of China[71331006] ; National Natural Science Foundation of China[91546202] ; Key Laboratory of RCSDS, AMSS, CAS[2008DP173182] ; Innovative Research Team of Shanghai University of Finance and Economics[IRTSHUFE13122402]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000428360200001
PublisherELSEVIER INC
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30055
Collection应用数学研究所
Affiliation1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
Recommended Citation
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.
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