On the consistency theory of high dimensional variable screening

@article{Wang2015OnTC,
  title={On the consistency theory of high dimensional variable screening},
  author={Xiangyu Wang and Chenlei Leng and David B. Dunson},
  journal={CoRR},
  year={2015},
  volume={abs/1502.06895}
}
Variable screening is a fast dimension reduction technique for assisting high dimensional feature selection. As a preselection method, it selects a moderate size subset of candidate variables for further refining via feature selection to produce the final model. The performance of variable screening depends on both computational efficiency and the ability to dramatically reduce the number of variables without discarding the important ones. When the data dimension p is substantially larger than… CONTINUE READING
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