Ultrahigh dimensional feature screening for additive model with multivariate response

ABSTRACT

We consider feature screening for ultrahigh dimensional additive model with multivariate response in this paper. A new method named generalized correlation based projection screening is proposed by using generalized correlation between each predictor and multivariate response. The sure screening and ranking consistency properties are established under some regularized conditions for the proposed procedure. In addition, we construct an iterative version of the proposed screening procedure to enhance the finite sample screening performance. Both simulation studies and the real data analysis demonstrate that the proposed method works effectively.

KEYWORDS:

• Feature screening
• additive model
• multivariate response
• generalized correlation
• sure screening
• ranking consistency

AMS SUBJECT CLASSIFICATIONS:

• 62G07
• 65D30
• 62F07

Acknowledgments

The authors thank the editors and two referees for their valuable comments and suggestions.

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

The research was supported by Fundamental Research Funds for Central Universities, and the Research Funds of Renmin University of China (No. 18XNI010).