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Variable Selection via Partial Correlation.
Partial correlation based variable selection method was proposed for normal linear regression models by Bühlmann, Kalisch and Maathuis (2010) as a comparable alternative method to regularization methods for variable selection. This paper addresses two important issues related to partial correlation based variable selection method: (a) whether this method is sensitive to normality assumption, an...
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متن کاملSupplemental Materials for “Variable screening via quantile partial” correlation
In this document, we first provide the proofs for Lemmas A.1-A.5. Then, we present additional simulation results for Examples 1-3. Specifically, We report the results for the moderate correlation coefficient ρ = 0.5 in Examples 1 and 2. In addition, we report the results for p = 2, 000 in Example 1. In Example 2, because p = 2, 000 yields similar performance to that of p = 1, 000, we do not rep...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2018
ISSN: 1017-0405
DOI: 10.5705/ss.202015.0473