Variable screening in multivariate linear regression with high-dimensional covariates
We propose two variable selection methods in multivariate linear regression with high-dimensional covariates. The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predictors to a moderate or low level. The second method extends the univariate forward...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-08-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2021.1982607 |
| _version_ | 1797677011002458112 |
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| author | Shiferaw B. Bizuayehu Lu Li Jin Xu |
| author_facet | Shiferaw B. Bizuayehu Lu Li Jin Xu |
| author_sort | Shiferaw B. Bizuayehu |
| collection | DOAJ |
| description | We propose two variable selection methods in multivariate linear regression with high-dimensional covariates. The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predictors to a moderate or low level. The second method extends the univariate forward regression of Wang [(2009). Forward regression for ultra-high dimensional variable screening. Journal of the American Statistical Association, 104(488), 1512–1524. https://doi.org/10.1198/jasa.2008.tm08516] in a unified way such that the variable selection and model estimation can be obtained simultaneously. We establish the sure screening property for both methods. Simulation and real data applications are presented to show the finite sample performance of the proposed methods in comparison with some naive method. |
| first_indexed | 2024-03-11T22:38:44Z |
| format | Article |
| id | doaj.art-60d6150fba3540fcb245fdd98b9647c7 |
| institution | Directory Open Access Journal |
| issn | 2475-4269 2475-4277 |
| language | English |
| last_indexed | 2024-03-11T22:38:44Z |
| publishDate | 2022-08-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Statistical Theory and Related Fields |
| spelling | doaj.art-60d6150fba3540fcb245fdd98b9647c72023-09-22T09:19:46ZengTaylor & Francis GroupStatistical Theory and Related Fields2475-42692475-42772022-08-016324125310.1080/24754269.2021.19826071982607Variable screening in multivariate linear regression with high-dimensional covariatesShiferaw B. Bizuayehu0Lu Li1Jin Xu2East China Normal UniversityShanghai Jiao Tong UniversityEast China Normal UniversityWe propose two variable selection methods in multivariate linear regression with high-dimensional covariates. The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predictors to a moderate or low level. The second method extends the univariate forward regression of Wang [(2009). Forward regression for ultra-high dimensional variable screening. Journal of the American Statistical Association, 104(488), 1512–1524. https://doi.org/10.1198/jasa.2008.tm08516] in a unified way such that the variable selection and model estimation can be obtained simultaneously. We establish the sure screening property for both methods. Simulation and real data applications are presented to show the finite sample performance of the proposed methods in comparison with some naive method.http://dx.doi.org/10.1080/24754269.2021.1982607dimension reductionforward regressionmultiple correlation coefficientmultivariate regressionvariable selection |
| spellingShingle | Shiferaw B. Bizuayehu Lu Li Jin Xu Variable screening in multivariate linear regression with high-dimensional covariates Statistical Theory and Related Fields dimension reduction forward regression multiple correlation coefficient multivariate regression variable selection |
| title | Variable screening in multivariate linear regression with high-dimensional covariates |
| title_full | Variable screening in multivariate linear regression with high-dimensional covariates |
| title_fullStr | Variable screening in multivariate linear regression with high-dimensional covariates |
| title_full_unstemmed | Variable screening in multivariate linear regression with high-dimensional covariates |
| title_short | Variable screening in multivariate linear regression with high-dimensional covariates |
| title_sort | variable screening in multivariate linear regression with high dimensional covariates |
| topic | dimension reduction forward regression multiple correlation coefficient multivariate regression variable selection |
| url | http://dx.doi.org/10.1080/24754269.2021.1982607 |
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