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Adaptive conditional feature screening

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  • Lin, Lu
  • Sun, Jing

Abstract

When the correlation among the predictors is relatively strong and/or the model structures cannot be specified, the construction of adaptive feature screening remains a challenging issue. A general technique of conditional feature screening is proposed via combining a model-free feature screening with a predetermined set of predictors. The proposed centralization technique can remove the irrelevant part from the criterion of the model-free feature screening. Consequently, the new criterion can measure the marginal utilities of predictors conditional on the predetermined set of predictors. The conditional information about these predetermined predictors helps reducing the correlation among covariates and as a result the resulting method can reduce the false positive and the false negative rates in the variable selection procedure. Thus, our method is adaptive to both the correlation among the covariates and the model misspecification. The new procedures are computationally efficient and simple, and can be extended to other relevant methods.

Suggested Citation

  • Lin, Lu & Sun, Jing, 2016. "Adaptive conditional feature screening," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 287-301.
    • Handle: RePEc:eee:csdana:v:94:y:2016:i:c:p:287-301
    DOI: 10.1016/j.csda.2015.09.002
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    References listed on IDEAS

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    6. Lin, Lu & Sun, Jing & Zhu, Lixing, 2013. "Nonparametric feature screening," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 162-174.
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    Cited by:

    1. Dai, Linlin & Chen, Kani & Sun, Zhihua & Liu, Zhenqiu & Li, Gang, 2018. "Broken adaptive ridge regression and its asymptotic properties," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 334-351.
    2. Yi Chu & Lu Lin, 2020. "Conditional SIRS for nonparametric and semiparametric models by marginal empirical likelihood," Statistical Papers, Springer, vol. 61(4), pages 1589-1606, August.
    3. Chen, Xiaolin & Zhang, Yahui & Chen, Xiaojing & Liu, Yi, 2019. "A simple model-free survival conditional feature screening," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 156-160.
    4. Jun Lu & Lu Lin, 2020. "Model-free conditional screening via conditional distance correlation," Statistical Papers, Springer, vol. 61(1), pages 225-244, February.
    5. Lu, Jun & Lin, Lu, 2018. "Feature screening for multi-response varying coefficient models with ultrahigh dimensional predictors," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 242-254.

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