Air-HOLP: adaptive regularized feature screening for high dimensional correlated data
Year: 2025
Type: article
Abstract: Handling high-dimensional datasets presents substantial computational challenges, particularly when the number of features far exceeds the number of observations and when features are highly correlated. A modern approach to mitigate these issues is feature screening. In this work, the High-dimensional Ordinary Least-squares Projection (HOLP) feature screening method is advanced by employing adaptive ridge regularization. The impact of the ridge tuning parameter on the Ridge-HOLP method is examined and Adaptive iterative ridge-HOLP (Air-HOLP) is proposed, a data-adaptive advance to Ridge-HOLP where the ridge-regularization tuning parameter is selected iteratively and optimally for better feature screening performance. The proposed method addresses the challenges of tuning parameter selection in high dimensions by offering a computationally efficient and stable alternative to traditional methods like bootstrapping and cross-validation. Air-HOLP is evaluated using simulated data and a prostate cancer genetic dataset. The empirical results demonstrate that Air-HOLP has improved performance over a large range of simulation settings. We provide R codes implementing the Air-HOLP feature screening method and integrating it into existing feature screening methods that utilize the HOLP formula.
Source: Statistics and Computing
Authors: Ibrahim Joudah, Samuel Muller, Houying Zhu
Institutions: Macquarie University, The University of Sydney
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $2,890
Funder: Macquarie University
OpenAlex ID: W4408239183