A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
In data sets with many more features than observations, independent screening based on all univariate regression models leads to a computationally convenient variable selection method. Recent efforts have shown that in the case of generalized linear models, independent screening may suffice to capture all relevant feat…
A variable screening procedure via correlation learning was proposed Fan and Lv (2008) to reduce dimensionality in sparse ultra-high dimensional models. Even when the true model is linear, the marginal regression can be highly nonlinear. To address this issue, we further extend the correlation learning to marginal nonp…
This paper treats the problem of screening for variables with high correlations in high dimensional data in which there can be many fewer samples than variables. We focus on threshold-based correlation screening methods for three related applications: screening for variables with large correlations within a single trea…
To find efficient screening methods for high dimensional linear regression models, this paper studies the relationship between model fitting and screening performance. Under a sparsity assumption, we show that a subset that includes the true submodel always yields smaller residual sum of squares (i.e., has better model…
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 com…
Understanding how features interact with each other is of paramount importance in many scientific discoveries and contemporary applications. Yet interaction identification becomes challenging even for a moderate number of covariates. In this paper, we suggest an efficient and flexible procedure, called the interaction …
Statistical inference can be computationally prohibitive in ultrahigh-dimensional linear models. Correlation-based variable screening, in which one leverages marginal correlations for removal of irrelevant variables from the model prior to statistical inference, can be used to overcome this challenge. Prior works on co…
We present safe active incremental feature selection~(SAIF) to scale up the computation of LASSO solutions. SAIF does not require a solution from a heavier penalty parameter as in sequential screening or updating the full model for each iteration as in dynamic screening. Different from these existing screening methods,…
We propose a flexible nonparametric regression method for ultrahigh-dimensional data. As a first step, we propose a fast screening method based on the favored smoothing bandwidth of the marginal local constant regression. Then, an iterative procedure is developed to recover both the important covariates and the regress…
One way to solve lasso problems when the dictionary does not fit into available memory is to first screen the dictionary to remove unneeded features. Prior research has shown that sequential screening methods offer the greatest promise in this endeavor. Most existing work on sequential screening targets the context of …
The problem of learning a sparse model is conceptually interpreted as the process of identifying active features/samples and then optimizing the model over them. Recently introduced safe screening allows us to identify a part of non-active features/samples. So far, safe screening has been individually studied either fo…
In the present paper, we introduce screen transversal lightlike submanifolds of metallic semi-Riemannian manifolds with its subclasses, namely screen transversal anti-invariant, radical screen transversal and isotropic screen transversal lightlike submanifolds, and give an example. We show that there do not exist co-is…
Recent computational strategies based on screening tests have been proposed to accelerate algorithms addressing penalized sparse regression problems such as the Lasso. Such approaches build upon the idea that it is worth dedicating some small computational effort to locate inactive atoms and remove them from the dictio…
We study safe screening for metric learning. Distance metric learning can optimize a metric over a set of triplets, each one of which is defined by a pair of same class instances and an instance in a different class. However, the number of possible triplets is quite huge even for a small dataset. Our safe triplet scree…