Nonparametric Independence Screening via Favored Smoothing Bandwidth
Methodology
2018-07-30 v1 Applications
Computation
Machine Learning
Abstract
We propose a flexible nonparametric regression method for ultrahigh-dimensional data. As a first step, we propose a fast screening method based on the favored smoothing bandwidth of the marginal local constant regression. Then, an iterative procedure is developed to recover both the important covariates and the regression function. Theoretically, we prove that the favored smoothing bandwidth based screening possesses the model selection consistency property. Simulation studies as well as real data analysis show the competitive performance of the new procedure.
Cite
@article{arxiv.1711.10411,
title = {Nonparametric Independence Screening via Favored Smoothing Bandwidth},
author = {Yang Feng and Yichao Wu and Leonard Stefanski},
journal= {arXiv preprint arXiv:1711.10411},
year = {2018}
}
Comments
22 pages