MFSIS {MFSIS}

Model-free feature screening procedures

Description

Through this function, we provide a unified framework to carry out model-free screening procedures including SIS (Fan and Lv (2008) <doi:10.1111/j.1467-9868.2008.00674.x>), SIRS(Zhu et al. (2011)<doi:10.1198/jasa.2011.tm10563>), DC-SIS (Li et al. (2012) <doi:10.1080/01621459.2012.695654>), MDC-SIS(Shao and Zhang (2014) <doi:10.1080/01621459.2014.887012>), Bcor-SIS (Pan et al. (2019) <doi:10.1080/01621459.2018.1462709>), PC-Screen (Liu et al. (2020) <doi:10.1080/01621459.2020.1783274>), WLS (Zhong et al.(2021) <doi:10.1080/01621459.2021.1918554>), Kfilter (Mai and Zou (2015) <doi:10.1214/14-AOS1303>), MVSIS (Cui et al. (2015) <doi:10.1080/01621459.2014.920256>), PSIS (Pan et al. (2016) <doi:10.1080/01621459.2014.998760>), CAS (Xie et al. (2020) <doi:101080/0162145920191573734>), CI-SIS (Cheng and Wang. (2022) <doi:10.1016/j.cmpb.2022.107269>) and CSIS.

Usage

MFSIS(
  X,
  Y,
  nsis = (dim(X)[1])/log(dim(X)[1]),
  method = c("SIS", "SIRS", "DCSIS", "MDCSIS", "CSIS", "PCSIS", "BcorSIS", "WLS",
    "MVSIS", "Kfilter")
)

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 the screening method. The default is n/log(n).

method

The method that you choose to perform screening procedure. method=c("SIS", "SIRS", "DCSIS", "MDCSIS", "CSIS", "PCSIS", "BcorSIS", "WLS", "MVSIS", "Kfilter","PSIS","CAS","CISIS"). If you want to know more information about this method, please use command "help(method)" for detail information.

Value

the labels of first nsis largest active set of all predictors

Author(s)

Xuewei Cheng [e-mail]

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 <- MFSIS(X, Y, n / log(n), method = "CSIS")
A