Sure Independence Screening via Semiparameteric Copula Learning

XIN Xin, XIE Bo-yi, LIU Ke-ke

doi:10.13371/j.cnki.chin.q.j.m.2024.02.003

Chinese Quarterly Journal of Mathematics >

2024 , Vol. 39 >Issue 2: 144 - 160

DOI: https://doi.org/10.13371/j.cnki.chin.q.j.m.2024.02.003

Sure Independence Screening via Semiparameteric Copula Learning

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School of Mathematics and Statistics, Henan University, Kaifeng 475004, China

XIN Xin (1982-), female, native of Kaifeng, Henan, associate professor of Henan University, engages in statistics; XIE Bo-yi (1998-), female, native of Nanyang, Henan, Ph.D. student of Nanjing University, engages in management and engineering; LIU Ke-Ke (2000-), female, native of Zhumadian, Henan, graduate student of Henan University, engages in statistics.

Received date: 2023-03-06

Online published: 2024-06-30

Supported by

Supported by Natural Science Foundation of Henan (Grant No. 202300410066); Program for Science and Technology Development of Henan Province (Grant No. 242102310350).

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Abstract

This paper is concerned with ultrahigh dimensional data analysis, which has become increasingly important in diverse scientific fields. We develop a sure independence screening procedure via the measure of conditional mean dependence based on Copula (CC-SIS, for short). The CC-SIS can be implemented as easily as the sure independence screening procedures which respectively based on the Pearson correlation, conditional mean and distance correlation (SIS, SIRS and DC-SIS, for short) and can significantly improve the performance of feature screening. We establish the sure screening property for the CC-SIS, and conduct simulations to examine its finite sample performance. Numerical comparison indicates that the CC-SIS performs better than the other two methods in various models. At last, we also illustrate the CC-SIS through a real data example.

Key words： Ultrahigh dimensionality; Conditional mean dependence; Copula learning; Semiparametric method

Cite this article

XIN Xin, XIE Bo-yi, LIU Ke-ke . Sure Independence Screening via Semiparameteric Copula Learning[J]. Chinese Quarterly Journal of Mathematics, 2024 , 39(2) : 144 -160 . DOI: 10.13371/j.cnki.chin.q.j.m.2024.02.003

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