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.
- Cumulative slicing
- Kolmogorov filter
- Model-free marginal screening
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty