The concordance filter: an adaptive model-free feature screening procedure
Authors: 
Xuewei Cheng, Gang Li, Hong WangAuthors Info & Claims
Xuewei Cheng, Gang Li, Hong WangAuthors Info & ClaimsPages 2413 - 2436
Abstract
A new model-free and data-adaptive feature screening procedure referred to as the concordance filter is developed for ultrahigh-dimensional data. The proposed method is based on the concordance filter which measures concordance between random vectors and can work adaptively with several types of predictors and response variables. We apply the concordance filter to deal with feature screening problems emerging from a wide range of real applications, such as nonparametric regression and survival analysis, among others. It is shown that the concordance filter enjoys the sure screening and rank consistency properties under weak regularity conditions. In particular, the concordance filter can still be powerful in the presence of censoring and heavy tails. We further demonstrate the superior performance of the concordance filter over existing screening methods by numerical examples and medical applications.
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© The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2023. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law.
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Kluwer Academic Publishers
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Publication History
Published: 05 September 2023
Accepted: 07 August 2023
Received: 28 September 2022
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