The Annals of Statistics

Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data

Xuming He, Lan Wang, and Hyokyoung Grace Hong

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We introduce a quantile-adaptive framework for nonlinear variable screening with high-dimensional heterogeneous data. This framework has two distinctive features: (1) it allows the set of active variables to vary across quantiles, thus making it more flexible to accommodate heterogeneity; (2) it is model-free and avoids the difficult task of specifying the form of a statistical model in a high dimensional space. Our nonlinear independence screening procedure employs spline approximations to model the marginal effects at a quantile level of interest. Under appropriate conditions on the quantile functions without requiring the existence of any moments, the new procedure is shown to enjoy the sure screening property in ultra-high dimensions. Furthermore, the quantile-adaptive framework can naturally handle censored data arising in survival analysis. We prove that the sure screening property remains valid when the response variable is subject to random right censoring. Numerical studies confirm the fine performance of the proposed method for various semiparametric models and its effectiveness to extract quantile-specific information from heteroscedastic data.

Article information

Ann. Statist., Volume 41, Number 1 (2013), 342-369.

First available in Project Euclid: 26 March 2013

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 68Q32: Computational learning theory [See also 68T05] 62G99: None of the above, but in this section
Secondary: 62E99: None of the above, but in this section 62N99: None of the above, but in this section

Feature screening high dimension polynomial splines quantile regression randomly censored data sure independence screening


He, Xuming; Wang, Lan; Hong, Hyokyoung Grace. Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data. Ann. Statist. 41 (2013), no. 1, 342--369. doi:10.1214/13-AOS1087.

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Supplemental materials

  • Supplementary material: “Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data”. We provide additional technical details and numerical examples in the supplemental material.