Profile forward regression screening for ultra-high dimensional semiparametric varying coefficient partially linear models
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 133-150 |
Journal / Publication | Journal of Multivariate Analysis |
Volume | 155 |
Online published | 29 Dec 2016 |
Publication status | Published - Mar 2017 |
Link(s)
Abstract
In this paper, we consider semiparametric varying coefficient partially linear models when the predictor variables of the linear part are ultra-high dimensional where the dimensionality grows exponentially with the sample size. We propose a profile forward regression (PFR) method to perform variable screening for ultra-high dimensional linear predictor variables. The proposed PFR algorithm can not only identify all relevant predictors consistently even for ultra-high semiparametric models including both nonparametric and parametric parts, but also possesses the screening consistency property. To determine whether or not to include the candidate predictor in the model of selected ones, we adopt an extended Bayesian information criterion (EBIC) to select the “best” candidate model. Simulation studies and a real data example are also carried out to assess the performance of the proposed method and to compare it with existing screening methods.
Research Area(s)
- EBIC, Profile forward regression, Screening consistency property, Ultra-high dimension, Variable screening, Varying coefficient partially linear model
Citation Format(s)
Profile forward regression screening for ultra-high dimensional semiparametric varying coefficient partially linear models. / Li, Yujie; Li, Gaorong; Lian, Heng et al.
In: Journal of Multivariate Analysis, Vol. 155, 03.2017, p. 133-150.
In: Journal of Multivariate Analysis, Vol. 155, 03.2017, p. 133-150.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review