Copula-based Partial Correlation Screening: a Joint and Robust Approach

23 Dec 2018 Xia Xiaochao Li Jialiang

Screening for ultrahigh dimensional features may encounter complicated issues such as outlying observations, heteroscedasticity or heavy-tailed distribution, multi-collinearity and confounding effects. Standard correlation-based marginal screening methods may be a weak solution to these issues... (read more)

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  • STATISTICS THEORY
  • STATISTICS THEORY