Abstract
In this paper, we propose a new sure independence screening procedure based on quantile correlation (QC-SIS). The method not only is robust against outliers, but also can discover the nonlinear relationship between independent variables and dependent variable. We establish the sure screening property under certain technical conditions. Simulation studies are conducted to assess the performances of QC-SIS, sure independent screening (SIS), sure independent ranking and screening (SIRS), robust rank correlation screening (RRCS) and distance correlation-sure independent screening (DC-SIS). Results have shown the effectiveness and the flexibility of the proposed method. We also illustrate the QC-SIS through an empirical example.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
