Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7547061 | Journal of Statistical Planning and Inference | 2018 | 23 Pages |
Abstract
We propose a flexible nonparametric regression method for ultrahigh-dimensional data. As a first step, we propose a fast screening method based on the favored smoothing bandwidth of the marginal local constant regression. Then, an iterative procedure is developed to recover both the important covariates and the regression function. Theoretically, we prove that the favored smoothing bandwidth based screening possesses the model selection consistency property. Simulation studies as well as real data analysis show the competitive performance of the new procedure.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Yang Feng, Yichao Wu, Leonard A. Stefanski,