Variable Screening in High-dimensional Feature Space
نویسنده
چکیده
Variable selection in high-dimensional space characterizes many contemporary problems in scientific discovery and decision making. Fan and Lv [8] introduced the concept of sure screening to reduce the dimensionality. This article first reviews the part of their ideas and results and then extends them to the likelihood based models. The techniques are then applied to disease classifications in computational biology and portfolio selection in finance. 2000 Mathematics Subject Classification: 68Q32, 62J99.
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