The cumulative Kolmogorov filter for model-free screening in ultrahigh dimensional data

Abstract

We propose a cumulative Kolmogorov filter to improve the fused Kolmogorov filter proposed by Zou (2015) via cumulative slicing. We establish an improved asymptotic result under relaxed assumptions and numerically demonstrate its enhanced finite sample performance.

References in corpus (2)

• High-dimensional classification using features annealed independence rules
• The fused Kolmogorov filter: A nonparametric model-free screening method