Sure feature screening for high-dimensional dichotomous classification |
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Authors: | Li Shao Yuan Yu Yong Zhou |
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Institution: | 1.School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai,China;2.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing,China |
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Abstract: | The curse of high-dimensionality has emerged in the statistical fields more and more frequently. Many techniques have been developed to address this challenge for classification problems. We propose a novel feature screening procedure for dichotomous response data. This new method can be implemented as easily as t-test marginal screening approach, and the proposed procedure is free of any subexponential tail probability conditions and moment requirement and not restricted in a specific model structure. We prove that our method possesses the sure screening property and also illustrate the effect of screening by Monte Carlo simulation and apply it to a real data example. |
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