Large Scale Partial Correlation Screening with Uncertainty Quantification
大规模偏相关筛选与不确定性量化
Identifying multivariate dependencies in high-dimensional data is an important problem in large-scale inference. This problem has motivated recent advances in mining (partial) correlations, which focus on the challenging ultra-high dimensional setting where the sample size, n, is fixed, while the number of features, p, grows without bound. The state-of-the-art method for partial correlation screening can lead to undesirable results. This paper introduces a novel principled…