TY - JOUR
T1 - Covariate Information Number for Feature Screening in Ultrahigh-Dimensional Supervised Problems
AU - Nandy, Debmalya
AU - Chiaromonte, Francesca
AU - Li, Runze
N1 - Publisher Copyright:
© 2021 American Statistical Association.
PY - 2021
Y1 - 2021
N2 - Contemporary high-throughput experimental and surveying techniques give rise to ultrahigh-dimensional supervised problems with sparse signals; that is, a limited number of observations (n), each with a very large number of covariates (Formula presented.), only a small share of which is truly associated with the response. In these settings, major concerns on computational burden, algorithmic stability, and statistical accuracy call for substantially reducing the feature space by eliminating redundant covariates before the use of any sophisticated statistical analysis. Along the lines of Pearson’s correlation coefficient-based sure independence screening and other model- and correlation-based feature screening methods, we propose a model-free procedure called covariate information number-sure independence screening (CIS). CIS uses a marginal utility connected to the notion of the traditional Fisher information, possesses the sure screening property, and is applicable to any type of response (features) with continuous features (response). Simulations and an application to transcriptomic data on rats reveal the comparative strengths of CIS over some popular feature screening methods. Supplementary materials for this article are available online.
AB - Contemporary high-throughput experimental and surveying techniques give rise to ultrahigh-dimensional supervised problems with sparse signals; that is, a limited number of observations (n), each with a very large number of covariates (Formula presented.), only a small share of which is truly associated with the response. In these settings, major concerns on computational burden, algorithmic stability, and statistical accuracy call for substantially reducing the feature space by eliminating redundant covariates before the use of any sophisticated statistical analysis. Along the lines of Pearson’s correlation coefficient-based sure independence screening and other model- and correlation-based feature screening methods, we propose a model-free procedure called covariate information number-sure independence screening (CIS). CIS uses a marginal utility connected to the notion of the traditional Fisher information, possesses the sure screening property, and is applicable to any type of response (features) with continuous features (response). Simulations and an application to transcriptomic data on rats reveal the comparative strengths of CIS over some popular feature screening methods. Supplementary materials for this article are available online.
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U2 - 10.1080/01621459.2020.1864380
DO - 10.1080/01621459.2020.1864380
M3 - Article
AN - SCOPUS:85101058900
JO - Journal of the American Statistical Association
JF - Journal of the American Statistical Association
SN - 0162-1459
ER -