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http://hdl.handle.net/1942/19102
Title: | Conditional sure independence screening | Authors: | Barut, Emre Fan, Jianqing VERHASSELT, Anneleen |
Issue Date: | 2015 | Publisher: | TAYLOR & FRANCIS INC | Source: | JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 111 (515), p. 1266-1277. | Abstract: | Independence screening is a powerful method for variable selection for ‘Big Data’ when the number of variables is massive. Commonly used independence screening methods are based on marginal correlations or variations of it. In many applications, researchers often have some prior knowledge that a certain set of variables is related to the response. In such a situation, a natural assessment on the relative importance of the other predictors is the conditional contributions of the individual predictors in presence of the known set of variables. This results in conditional sure independence screening (CSIS). Conditioning helps for reducing the false positive and the false negative rates in the variable selection process. In this paper, we propose and study CSIS in the context of generalized linear models. For ultrahigh-dimensional statistical problems, we give conditions under which sure screening is possible and derive an upper bound on the number of selected variables. We also spell out the situation under which CSIS yields model selection consistency. Moreover, we provide two data-driven methods to select the thresholding parameter of conditional screening. The utility of the procedure is illustrated by simulation studies and analysis of two real data sets. | Notes: | Barut, E (reprint author), George Washington Univ, Dept Stat, Washington, DC 20052 USA. barut@gwu.edu | Keywords: | False selection rate;Generalized linear models;Sparsity;Sure screening;Variable selection | Document URI: | http://hdl.handle.net/1942/19102 | Link to publication/dataset: | http://europepmc.org/backend/ptpmcrender.fcgi?accid=PMC5367860&blobtype=pdf | ISSN: | 0162-1459 | e-ISSN: | 1537-274X | DOI: | 10.1080/01621459.2015.1092974 | ISI #: | 000386318200032 | Rights: | © 2016 American Statistical Association | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2017 |
Appears in Collections: | Research publications |
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File | Description | Size | Format | |
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1206.1024.pdf | Peer-reviewed author version | 394.71 kB | Adobe PDF | View/Open |
Conditional Sure Independence Screening.pdf Restricted Access | Published version | 982.04 kB | Adobe PDF | View/Open Request a copy |
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