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Correlation pursuit: forward stepwise variable selection for index models

Author

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  • Wenxuan Zhong
  • Tingting Zhang
  • Yu Zhu
  • Jun S. Liu

Abstract

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Suggested Citation

  • Wenxuan Zhong & Tingting Zhang & Yu Zhu & Jun S. Liu, 2012. "Correlation pursuit: forward stepwise variable selection for index models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(5), pages 849-870, November.
    • Handle: RePEc:bla:jorssb:v:74:y:2012:i:5:p:849-870
    DOI: j.1467-9868.2011.01026.x
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    Citations

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    Cited by:

    1. Wenxing Guo & Xiaohui Liu & Shangli Zhang, 2016. "The principal correlation components estimator and its optimality," Statistical Papers, Springer, vol. 57(3), pages 755-779, September.
    2. Zhou Yu & Yuexiao Dong & Li-Xing Zhu, 2016. "Trace Pursuit: A General Framework for Model-Free Variable Selection," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(514), pages 813-821, April.
    3. Shan Luo & Zehua Chen, 2014. "Sequential Lasso Cum EBIC for Feature Selection With Ultra-High Dimensional Feature Space," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1229-1240, September.
    4. Dong, Yuexiao & Yu, Zhou & Zhu, Liping, 2020. "Model-free variable selection for conditional mean in regression," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
    5. Li, Yujie & Li, Gaorong & Lian, Heng & Tong, Tiejun, 2017. "Profile forward regression screening for ultra-high dimensional semiparametric varying coefficient partially linear models," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 133-150.
    6. Hong, Hyokyoung G. & Zheng, Qi & Li, Yi, 2019. "Forward regression for Cox models with high-dimensional covariates," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 268-290.
    7. Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.

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