ArticleEntropy (Basel, Switzerland)2023
Quantile-Adaptive Sufficient Variable Screening by Controlling False Discovery.
Article in Entropy (Basel, Switzerland), 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.
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4 authors.
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Abstract
Sufficient variable screening rapidly reduces dimensionality with high probability in ultra-high dimensional modeling. To rapidly screen out the null predictors, a quantile-adaptive sufficient variable screening framework is developed by controlling the false discovery. Without any specification of an actual model, we first introduce a compound testing procedure based on the conditionally imputing marginal rank correlation at different quantile levels of response to select active predictors in high dimensionality. The testing statistic can capture sufficient dependence through two paths: one is to control false discovery adaptively and the other is to control the false discovery rate by giving a prespecified threshold. It is computationally efficient and easy to implement. We establish the theoretical properties under mild conditions. Numerical studies including simulation studies and real data analysis contain supporting evidence that the proposal performs reasonably well in practical settings.
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