Robust rank screening for ultrahigh dimensional discriminant analysis |
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Authors: | Guosheng Cheng Xingxiang Li Peng Lai Fengli Song Jun Yu |
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Institution: | 1.School of Mathematics and Statistics,Nanjing University of Information Science & Technology,Nanjing,China;2.Department of Mathematics and Statistics,University of Vermont,Burlington,USA |
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Abstract: | In this paper, we consider sure independence feature screening for ultrahigh dimensional discriminant analysis. We propose a new method named robust rank screening based on the conditional expectation of the rank of predictor’s samples. We also establish the sure screening property for the proposed procedure under simple assumptions. The new procedure has some additional desirable characters. First, it is robust against heavy-tailed distributions, potential outliers and the sample shortage for some categories. Second, it is model-free without any specification of a regression model and directly applicable to the situation with many categories. Third, it is simple in theoretical derivation due to the boundedness of the resulting statistics. Forth, it is relatively inexpensive in computational cost because of the simple structure of the screening index. Monte Carlo simulations and real data examples are used to demonstrate the finite sample performance. |
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