A selective overview of feature screening for ultrahigh-dimensional data

High-dimensional data have frequently been collected in many scientific areas including genomewide association study, biomedical imaging, tomography, tumor classifications, and finance. Analysis of highdimensional data poses many challenges for statisticians. Feature selection and variable selection are fundamental for high-dimensional data analysis. The sparsity principle, which assumes that only a small number of predictors contribute to the response, is frequently adopted and deemed useful in the analysis of high-dimensional data.Following this general principle, a large number of variable selection approaches via penalized least squares or likelihood have been developed in the recent literature to estimate a sparse model and select significant variables simultaneously. While the penalized variable selection methods have been successfully applied in many highdimensional analyses, modern applications in areas such as genomics and proteomics push the dimensionality of data to an even larger scale, where the dimension of data may grow exponentially with the sample size. This has been called ultrahigh-dimensional data in the literature. This work aims to present a selective overview of feature screening procedures for ultrahigh-dimensional data. We focus on insights into how to construct marginal utilities for feature screening on specific models and motivation for the need of model-free feature screening procedures.

Robust estimation for partially linear models with large-dimensional covariates

We are concerned with robust estimation procedures to estimate the parameters in partially linear models with large-dimensional covariates. To enhance the interpretability, we suggest implementing a nonconcave regularization method in the robust estimation procedure to select important covariates from the linear component. We establish the consistency for both the linear and the nonlinear components when the covariate dimension diverges at the rate of o(n1/2), where n is the sample size. We show that the robust estimate of linear component performs asymptotically as well as its oracle counterpart which assumes the baseline function and the unimportant covariates were known a priori. With a consistent estimator of the linear component, we estimate the nonparametric component by a robust local linear regression. It is proved that the robust estimate of nonlinear component performs asymptotically as well as if the linear component were known in advance.Comprehensive simulation studies are carried out and an application is presented to examine the fnite-sample performance of the proposed procedures.

Model-free conditional independence feature screening for ultrahigh dimensional data

Feature screening plays an important role in ultrahigh dimensional data analysis.This paper is concerned with conditional feature screening when one is interested in detecting the association between the response and ultrahigh dimensional predictors(e.g.,genetic makers)given a low-dimensional exposure variable(such as clinical variables or environmental variables).To this end,we first propose a new index to measure conditional independence,and further develop a conditional screening procedure based on the newly proposed index.We systematically study the theoretical property of the proposed procedure and establish the sure screening and ranking consistency properties under some very mild conditions.The newly proposed screening procedure enjoys some appealing properties.(a)It is model-free in that its implementation does not require a specification on the model structure;(b)it is robust to heavy-tailed distributions or outliers in both directions of response and predictors;and(c)it can deal with both feature screening and the conditional screening in a unified way.We study the finite sample performance of the proposed procedure by Monte Carlo simulations and further illustrate the proposed method through two real data examples.

Local Linear Regression for Data with AR Errors

In many statistical applications, data are collected over time, and they are likely correlated. In this paper, we investigate how to incorporate the correlation information into the local linear regression. Under the assumption that the error process is an auto-regressive process, a new estimation procedure is proposed for the nonparametric regression by using local linear regression method and the profile least squares techniques. We further propose the SCAD penalized profile least squares method to determine the order of auto-regressive process. Extensive Monte Carlo simulation studies are conducted to examine the finite sample performance of the proposed procedure, and to compare the performance of the proposed procedures with the existing one. From our empirical studies, the newly proposed procedures can dramatically improve the accuracy of naive local linear regression with working-independent error structure. We illustrate the proposed methodology by an analysis of real data set.