Robust distance correlation for variable screening

High-dimensional data are commonly seen in modern statistical applications, variable selection methods play indispensable roles in identifying the critical features for scientific discoveries. Traditional best subset selection methods are computationally intractable with a large number of features, while regularization methods such as Lasso, SCAD and their variants perform poorly in ultrahigh-dimensional data due to low computational efficiency and unstable algorithm. Sure screening methods have become popular alternatives by first rapidly reducing the dimension using simple measures such as marginal correlation then applying any regularization methods. A number of screening methods for different models or problems have been developed, however, none of the methods have targeted at data with heavy tailedness, which is another important characteristics of modern big data. In this paper, we propose a robust distance correlation (``RDC'') based sure screening method to perform screening in ultrahigh-dimensional regression with heavy-tailed data. The proposed method shares the same good properties as the original model-free distance correlation based screening while has additional merit of robustly estimating the distance correlation when data is heavy-tailed and improves the model selection performance in screening. We conducted extensive simulations under different scenarios of heavy tailedness to demonstrate the advantage of our proposed procedure as compared to other existing model-based or model-free screening procedures with improved feature selection and prediction performance. We also applied the method to high-dimensional heavy-tailed RNA sequencing (RNA-seq) data of The Cancer Genome Atlas (TCGA) pancreatic cancer cohort and RDC was shown to outperform the other methods in prioritizing the most essential and biologically meaningful genes

Bayesian indicator variable selection of multivariate response with heterogeneous sparsity for multi-trait fine mapping

Variable selection has been played a critical role in contemporary statistics and scientific discoveries. Numerous regularization and Bayesian variable selection methods have been developed in the past two decades for variable selection, but they mainly target at only one response. As more data being collected nowadays, it is common to obtain and analyze multiple correlated responses from the same study. Running separate regression for each response ignores their correlation thus multivariate analysis is recommended. Existing multivariate methods select variables related to all responses without considering the possible heterogeneous sparsity of different responses, i.e. some features may only predict a subset of responses but not the rest. In this paper, we develop a novel Bayesian indicator variable selection method in multivariate regression model with a large number of grouped predictors targeting at multiple correlated responses with possibly heterogeneous sparsity patterns. The method is motivated by the multi-trait fine mapping problem in genetics to identify the variants that are causal to multiple related traits. Our new method is featured by its selection at individual level, group level as well as specific to each response. In addition, we propose a new concept of subset posterior inclusion probability for inference to prioritize predictors that target at subset(s) of responses. Extensive simulations with varying sparsity and heterogeneity levels and dimension have shown the advantage of our method in variable selection and prediction performance as compared to existing general Bayesian multivariate variable selection methods and Bayesian fine mapping methods. We also applied our method to a real data example in imaging genetics and identified important causal variants for brain white matter structural change in different regions.Comment: 29 pages, 3 figure