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Model-free feature screening for ultrahigh dimensional classification
Sheng, Ying1,2; Wang, Qihua1,2,3
AbstractIn this paper, a new model-free feature screening method based on classification accuracy of marginal classifiers is proposed for ultrahigh dimensional classification. Different from existing methods, which use the differences of means or differences of conditional cumulative distribution functions between classes as the screening indexes, we propose a new feature screening method to rank the importance of predictors based on classification accuracy of marginal classifiers. For each variable, we construct the corresponding marginal classifier according to the Bayes rule and thus classification accuracy of these marginal classifiers can be used as effective feature screening indexes to select all important variables. Not only for a fixed number of classes but also for a diverging number of classes, we can prove that the proposed method enjoys the sure screening property under some regularity conditions. Finally, simulations and the real data analysis well demonstrate good performance of the proposed method in comparison with existing methods. (C) 2020 Elsevier Inc. All rights reserved.
KeywordClassification accuracy The Bayes rule Sure screening Ultrahigh dimensional classification
Indexed BySCI
Funding ProjectNational Natural Science Foundation of China[11871460] ; National Natural Science Foundation of China[61621003] ; Key Lab of Random Complex Structure and Data Science, CAS, China
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000534407700010
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Document Type期刊论文
Corresponding AuthorWang, Qihua
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China
3.Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Peoples R China
Recommended Citation
GB/T 7714
Sheng, Ying,Wang, Qihua. Model-free feature screening for ultrahigh dimensional classification[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2020,178:12.
APA Sheng, Ying,&Wang, Qihua.(2020).Model-free feature screening for ultrahigh dimensional classification.JOURNAL OF MULTIVARIATE ANALYSIS,178,12.
MLA Sheng, Ying,et al."Model-free feature screening for ultrahigh dimensional classification".JOURNAL OF MULTIVARIATE ANALYSIS 178(2020):12.
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