title: Model-Free Feature Screening for Ultrahigh Dimensional Discriminant Analysis.
abstract: This work is concerned with marginal sure independence feature screening for ultra-high dimensional discriminant analysis. The response variable is categorical in discriminant analysis. This enables us to use conditional distribution function to construct a new index for feature screening. In this paper, we propose a marginal feature screening procedure based on empirical conditional distribution function. We establish the sure screening and ranking consistency properties for the proposed procedure without assuming any moment condition on the predictors. The proposed procedure enjoys several appealing merits. First, it is model-free in that its implementation does not require specification of a regression model. Second, it is robust to heavy-tailed distributions of predictors and the presence of potential outliers. Third, it allows the categorical response having a diverging number of classes in the order ofO(nκ) with someκ≥ 0. We assess the finite sample property of the proposed procedure by Monte Carlo simulation studies and numerical comparison. We further illustrate the proposed methodology by empirical analyses of two real-life data sets.
authors.affiliation: Capital Normal University, The Pennsylvania State University and Xiamen University.
authors.forename: Hengjian
authors.initials: H
authors.lastname: Cui
authors.affiliation: Capital Normal University, The Pennsylvania State University and Xiamen University.
authors.forename: Runze
authors.initials: R
authors.lastname: Li
authors.affiliation: Capital Normal University, The Pennsylvania State University and Xiamen University.
authors.forename: Wei
authors.initials: W
authors.lastname: Zhong
keywords: Feature screening; consistency in ranking; sure screening property; ultrahigh dimensional data analysis