In this paper, the LASSO method with extended Bayesian information criteria (EBIC) for feature selection in high-dimensional models is studied. We propose the use of the energy distance correlation in place of the ordinary correlation coefficient to measure the dependence of two variables. The energy distance correlation detects linear and non-line...
Published in Biometrics
Conditional screening approaches have emerged as a powerful alternative to the commonly used marginal screening, as they can identify marginally weak but conditionally important variables. However, most existing conditional screening methods need to fix the initial conditioning set, which may determine the ultimately selected variables. If the cond...
Published in Journal of multivariate analysis
Forward regression, a classical variable screening method, has been widely used for model building when the number of covariates is relatively low. However, forward regression is seldom used in high-dimensional settings because of the cumbersome computation and unknown theoretical properties. Some recent works have shown that forward regression, co...
