Tournament screening cum EBIC for feature selection with high-dimensional feature spaces

Abstract

The feature selection characterized by relatively small sample size and extremely high-dimensional feature space is common in many areas of contemporary statistics. The high dimensionality of the feature space causes serious difficulties: (i) the sample correlations between features become high even if the features are stochastically independent; (ii) the computation becomes intractable. These difficulties make conventional approaches either inapplicable or inefficient. The reduction of dimensionality of the feature space followed by low dimensional approaches appears the only feasible way to tackle the problem. Along this line, we develop in this article a tournament screening cum EBIC approach for feature selection with high dimensional feature space. The procedure of tournament screening mimics that of a tournament. It is shown theoretically that the tournament screening has the sure screening property, a necessary property which should be satisfied by any valid screening procedure. It is demonstrated by numerical studies that the tournament screening cum EBIC approach enjoys desirable properties such as having higher positive selection rate and lower false discovery rate than other approaches.