Robust feature screening for elliptical copula regression model

DOI10.1016/j.jmva.2019.05.003zbMath1431.62157arXiv1808.08551OpenAlexW2888198740MaRDI QIDQ2274965

Liang Zhang, Yong He, Jiadong Ji, Xin Sheng Zhang

Publication date: 1 October 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.08551

zbMATH Keywords

canonical correlationelliptical copulaKendall's \(\tau\)feature screening

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (4)

Robust estimation of the number of factors for the pair-elliptical factor models ⋮ Robust factor number specification for large-dimensional elliptical factor model ⋮ Robust feature screening for multi-response trans-elliptical regression model with ultrahigh-dimensional covariates ⋮ Copula shrinkage and portfolio allocation in ultra-high dimensions

Uses Software

• ROCKET

Cites Work

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