Author ORCID Identifier
Year of Publication
Doctor of Philosophy (PhD)
Arts and Sciences
Dr. Xiangrong Yin
We introduce a new class of measures for testing independence between two random vectors, which uses expected difference of conditional and marginal characteristic functions. By choosing a particular weight function in the class, we propose a new index for measuring independence and study its property. Two empirical versions are developed, their properties, asymptotics, connection with existing measures and applications are discussed. Implementation and Monte Carlo results are also presented.
We propose a two-stage sufficient variable selections method based on the new index to deal with large p small n data. The method does not require model specification and especially focuses on categorical response. Our approach always improves other typical screening approaches which only use marginal relation. Numerical studies are provided to demonstrate the advantages of the method.
We introduce a novel approach to sufficient dimension reduction problems using the new measure. The proposed method requires very mild conditions on the predictors, estimates the central subspace effectively and is especially useful when response is categorical. It keeps the model-free advantage without estimating link function. Under regularity conditions, root-n consistency and asymptotic normality are established. The proposed method is very competitive and robust comparing to existing dimension reduction methods through simulations results.
Digital Object Identifier (DOI)
Yuan, Qingcong, "INFORMATIONAL INDEX AND ITS APPLICATIONS IN HIGH DIMENSIONAL DATA" (2017). Theses and Dissertations--Statistics. 28.