The cumulative Kolmogorov filter for model-free screening in ultrahigh dimensional data

Arlene Kyoung Hee Kim, Seung Jun Shin

Research output: Contribution to journalArticle

1 Citation (Scopus)

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.

Original languageEnglish
Pages (from-to)238-243
Number of pages6
JournalStatistics and Probability Letters
Volume126
DOIs
Publication statusPublished - 2017 Jul 1

Keywords

  • Cumulative slicing
  • Kolmogorov filter
  • Model-free marginal screening

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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