We propose a cumulative Kolmogorov filter to improve the fused Kolmogorov filter proposed by Zou (2015) via cumulative slicing. We establish an improved asymptotic result under relaxed assumptions and numerically demonstrate its enhanced finite sample performance.
@article{arxiv.1701.01560,
title = {The cumulative Kolmogorov filter for model-free screening in ultrahigh dimensional data},
author = {Arlene K. H. Kim and Seung Jun Shin},
journal= {arXiv preprint arXiv:1701.01560},
year = {2019}
}