Robust conditional nonparametric independence screening for ultrahigh-dimensional data

This article novelly proposes a robust model-free screening procedure, which performs well for a variety of semivarying coefficient models. Under technical conditions, we show that it possesses the ranking consistency property and the sure screening property. Comprehensive simulation studies are conducted to demonstrate that it exhibits more competitive performance than existing screening methods.

Source: Statistics and Probability Letters - August 17, 2018 Category: Statistics Source Type: research