The Kolmogorov filter for variable screening in high-dimensional binary classification
高维二元分类变量筛选的 Kolmogorov 过滤器
Variable screening techniques have been proposed to mitigate the impact of high dimensionality in classification problems, including t-test marginal screening (Fan & Fan, 2008) and maximum marginal likelihood screening (Fan & Song, 2010). However, these methods rely on strong modelling assumptions that are easily violated in real applications. To circumvent the parametric modelling assumptions, we propose a new variable screening technique for binary classification based on…