当前位置: X-MOL 学术Stat. Sin. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Feature Screening for Network Autoregression Model.
Statistica Sinica ( IF 1.4 ) Pub Date : 2021-7-24 , DOI: 10.5705/ss.202018.0400
Danyang Huang 1 , Xuening Zhu 2, 3 , Runze Li 3 , Hansheng Wang 4
Affiliation  

Network analysis has drawn great attention in recent years. It is applied to a wide range disciplines. These include but are not limited to social science, finance and genetics. It is typical that one collects abundant covariates along the response variable in practice. Since the network structure makes the responses at different nodes no longer independent, existing screening methods may not perform well for network data. We propose a network-based sure independence screening (NW-SIS) method. This approach explicitly takes the network structure into consideration. The strong screening consistency property of the NW-SIS is rigorously established. We further investigated the estimation of the network effect and establish the n -consistency of the estimator. The finite sample performance of the proposed method is assessed by simulation study and illustrated by an empirical analysis of a dataset from Chinese stock market.
更新日期:2021-07-24
down
wechat
bug