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Feature screening for generalized varying coefficient models with application to dichotomous responses

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  • Xia, Xiaochao
  • Yang, Hu
  • Li, Jialiang

Abstract

Generalized varying coefficient model (GVCM) is an important extension of generalized linear model and varying coefficient model. It has been widely applied in many areas. This paper mainly considers the variable screening problem with dichotomous response data under GVCM, where a spline approximation is employed to estimate the coefficient function for each covariate. Two screening procedures based on marginal maximum likelihood estimation and marginal likelihood ratio statistics are studied. The sure independence screening property and the ranking consistency of these two approaches are established under some technical conditions. Some refined algorithms are presented to control the false selection rate. Extensive numerical studies are conducted to evaluate the performance of the proposed methodology.

Suggested Citation

  • Xia, Xiaochao & Yang, Hu & Li, Jialiang, 2016. "Feature screening for generalized varying coefficient models with application to dichotomous responses," Computational Statistics & Data Analysis, Elsevier, vol. 102(C), pages 85-97.
    • Handle: RePEc:eee:csdana:v:102:y:2016:i:c:p:85-97
    DOI: 10.1016/j.csda.2016.04.008
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    References listed on IDEAS

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    Cited by:

    1. Kangning Wang & Lu Lin, 2019. "Robust and efficient estimator for simultaneous model structure identification and variable selection in generalized partial linear varying coefficient models with longitudinal data," Statistical Papers, Springer, vol. 60(5), pages 1649-1676, October.
    2. Li, Yehua & Qiu, Yumou & Xu, Yuhang, 2022. "From multivariate to functional data analysis: Fundamentals, recent developments, and emerging areas," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    3. Honda, Toshio & 本田, 敏雄 & Lin, Chien-Tong, 2020. "Forward Variable Selection for Sparse Ultra-High Dimensional Generalized Varying Coefficient Models," Discussion Papers 2020-01, Graduate School of Economics, Hitotsubashi University.
    4. Yang, Guangren & Zhang, Ling & Li, Runze & Huang, Yuan, 2019. "Feature screening in ultrahigh-dimensional varying-coefficient Cox model," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 284-297.
    5. Jing Zhang & Yanyan Liu & Hengjian Cui, 2021. "Model-free feature screening via distance correlation for ultrahigh dimensional survival data," Statistical Papers, Springer, vol. 62(6), pages 2711-2738, December.

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