title: A selective overview of feature screening for ultrahigh-dimensional data.
abstract: High-dimensional data have frequently been collected in many scientific areas including genomewide association study, biomedical imaging, tomography, tumor classifications, and finance. Analysis of high-dimensional data poses many challenges for statisticians. Feature selection and variable selection are fundamental for high-dimensional data analysis. The sparsity principle, which assumes that only a small number of predictors contribute to the response, is frequently adopted and deemed useful in the analysis of high-dimensional data. Following this general principle, a large number of variable selection approaches via penalized least squares or likelihood have been developed in the recent literature to estimate a sparse model and select significant variables simultaneously. While the penalized variable selection methods have been successfully applied in many high-dimensional analyses, modern applications in areas such as genomics and proteomics push the dimensionality of data to an even larger scale, where the dimension of data may grow exponentially with the sample size. This has been called ultrahigh-dimensional data in the literature. This work aims to present a selective overview of feature screening procedures for ultrahigh-dimensional data. We focus on insights into how to construct marginal utilities for feature screening on specific models and motivation for the need of model-free feature screening procedures.
authors.affiliation: Department of Statistics, School of Economics, Xiamen University, Xiamen 361005, China; Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen 361005, China; Fujian Key Laboratory of Statistical Science, Xiamen University, Xiamen 361005, China.
authors.forename: Liu
authors.initials: L
authors.lastname: JingYuan
authors.affiliation: Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen 361005, China; Department of Statistics, School of Economics, Xiamen University, Xiamen 361005, China; Fujian Key Laboratory of Statistical Science, Xiamen University, Xiamen 361005, China.
authors.forename: Zhong
authors.initials: Z
authors.lastname: Wei
authors.affiliation: Department of Statistics and The Methodology Center, Pennsylvania State University, University Park, PA 16802-2111, USA.
authors.forename: L I
authors.initials: LI
authors.lastname: RunZe
keywords: correlation learning; distance correlation; sure independence screening; sure joint screening; sure screening property; ultrahigh-dimensional data