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Model-free feature screening for ultrahigh-dimensional data. (English) Zbl 1233.62195
Summary: With the recent explosion of scientific data of unprecedented size and complexity, feature ranking and screening are playing an increasingly important role in many scientific studies. We propose a novel feature screening procedure under a unified model framework, which covers a wide variety of commonly used parametric and semiparametric models. The new method does not require imposing a specific model structure on the regression functions, and thus is particularly appealing to ultrahigh-dimensional regression, when there are a huge number of candidate predictors but little information about the actual model forms. We demonstrate that, with the number of predictors growing at an exponential rate of the sample size, the proposed procedure possesses consistency in ranking, which is both useful in its own right and can lead to consistency in selection. The new procedure is computationally efficient and simple, and exhibits a competent empirical performance in our intensive simulations and real data analysis.

MSC:
62P10 Applications of statistics to biology and medical sciences; meta analysis
62P99 Applications of statistics
65C60 Computational problems in statistics (MSC2010)
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