| DCSIS {MFSIS} | R Documentation |
Feature Screening via Distance Correlation Learning
Description
A sure independence screening procedure based on the distance correlation (DC-SIS). The DC-SIS can be implemented as easily as the sure independence screening (SIS) procedure based on the Pearson correlation proposed by Fan and Lv(2008). DC-SIS can be used directly to screen grouped predictor variables and multivariate response variables.
Usage
DCSIS(X, Y, nsis = (dim(X)[1])/log(dim(X)[1]))
Arguments
X |
The design matrix of dimensions n * p. Each row is an observation vector. |
Y |
The response vector of dimension n * 1. |
nsis |
Number of predictors recruited by DCSIS. The default is n/log(n). |
Value
the labels of first nsis largest active set of all predictors
Author(s)
Xuewei Cheng xwcheng@csu.edu.cn
References
Fan, J. and J. Lv (2008). Sure independence screening for ultrahigh dimensional feature space. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 70(5),849–911.
Li, R., W. Zhong, and L. Zhu (2012). Feature screening via distance correlation learning. Journal of the American Statistical Association 107(499), 1129–1139.
Examples
n=100;
p=200;
rho=0.5;
data=GendataLM(n,p,rho,error="gaussian")
data=cbind(data[[1]],data[[2]])
colnames(data)[1:ncol(data)]=c(paste0("X",1:(ncol(data)-1)),"Y")
data=as.matrix(data)
X=data[,1:(ncol(data)-1)];
Y=data[,ncol(data)];
A=DCSIS(X,Y,n/log(n));A