Feature Selection for Varying Coefficient Models With Ultrahigh-Dimensional Covariates
超高维协变量变系数模型的特征选择
This paper is concerned with feature screening and variable selection for varying coefficient models with ultrahigh dimensional covariates. We propose a new feature screening procedure for these models based on conditional correlation coefficient. We systematically study the theoretical properties of the proposed procedure, and establish their sure screening property and the ranking consistency. To enhance the finite sample performance of the proposed procedure, we further…