Invited by Prof. Wantong Li of School of Mathematics and Statistics, Prof. Niansheng Tang from School of Mathematics and Statistics, Yunnan University will give a lecture.

Title: Quantile correlation-based variable selection

Time: 15:20p.m.,Sep. 25th, 2021

Location: Room 631, Polytechnic building

Abstract: This paper is concerned with identifying important features in high dimensional data analysis, especially when there are complex relationships among predictors. Without any specification of an actual model, we first introduce a multiple testing procedure based on the quantile correlationto select important predictors in high dimensionality. The quantile-correlation statistic is able to capture a wide range of dependence.A stepwise procedure is studied for further identifying importantvariables. Moreover, a sure independentscreening based on the quantile correlation is developed in handling ultrahigh dimensional data. It is computationally efficient and easy to implement. We establish the theoretical properties under mild conditions. Numerical studies including simulation studies and real data analysis contain supporting evidence that the proposal performs reasonably well in practical settings.