Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data. (English) Zbl 1295.62053

Ann. Stat. 41, No. 1, 342-369 (2013); correction ibid. 41, No. 5, 2699 (2013).
Analyzing ultra-high-dimensional data with the number of features increasing at an exponential rate is a challenging problem. The first step in this data analysis problem is to use a fast screening procedure to reduce the dimension to a moderate scale. The authors propose a quantile-adaptive model-free screening procedure for this purpose. The approach allows the set of active variables to be different when modelling different conditional quantiles and is effective for analyzing high-dimensional data characterized by heteroscedasticity. The authors use a technique of estimating marginal quantile regression nonparametrically by means of B-spline approximations.


62G99 Nonparametric inference
62G08 Nonparametric regression and quantile regression
62N05 Reliability and life testing
62-07 Data analysis (statistics) (MSC2010)
Full Text: DOI arXiv Euclid


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