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Quantile-adaptive variable screening in ultra-high dimensional varying coefficient models

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The varying-coefficient model is an important nonparametric statistical model since it allows appreciable flexibility on the structure of fitted model. For ultra-high dimensional heterogeneous data it is very necessary to examine how the effects of covariates vary with exposure variables at different quantile level of interest. In this paper, we extended the marginal screening methods to examine and select variables by ranking a measure of nonparametric marginal contributions of each covariate given the exposure variable. Spline approximations are employed to model marginal effects and select the set of active variables in quantile-adaptive framework. This ensures the sure screening property in quantile-adaptive varying-coefficient model. Numerical studies demonstrate that the proposed procedure works well for heteroscedastic data.
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Keywords: Primary: 62G05; Secondary: 62E20; dimensionality reduction; heterogeneous data; quantile regression; ultra-high dimension; variable selection; varying-coefficient independent screening

Document Type: Research Article

Affiliations: School of Finance and Statistics, East China Normal University, Shanghai, 200241, People's Republic of China

Publication date: March 11, 2016

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