Variable screening for ultrahigh dimensional heterogeneous data via conditional quantile correlations
文献类型：期刊论文
| 作者 | Zhang, Shucong1; Zhou, Yong1,2
|
| 刊名 | JOURNAL OF MULTIVARIATE ANALYSIS
 |
| 出版日期 | 2018-05-01 |
| 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. |
| 资助项目 | National 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研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000428360200001 |
| 出版者 | ELSEVIER INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/30054]  |
| 专题 | 应用数学研究所 |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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