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The cumulative Kolmogorov filter for model-free screening in ultrahigh dimensional data
- Issue Date
- Jul-2017
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Cumulative slicing; Kolmogorov filter; Model-free marginal screening
- Citation
- STATISTICS & PROBABILITY LETTERS, v.126, pp.238 - 243
- Indexed
- SCIE
SCOPUS
- Journal Title
- STATISTICS & PROBABILITY LETTERS
- Volume
- 126
- Start Page
- 238
- End Page
- 243
- ISSN
- 0167-7152
- Abstract
- We propose a cumulative Kolmogorov filter to improve the fused Kolmogorov filter proposed by Mai and Zou (2015) via cumulative slicing. We establish an improved asymptotic result under relaxed assumptions and numerically demonstrate its enhanced finite sample performance. (C) 2017 Elsevier B.V. All rights reserved.
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