Conditional variable screening via ordinary least squares projection

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Abstract
In this article, we propose a novel variable screening method for linear models named as conditional screening via ordinary least squares projection (COLP). COLP can take advantage of prior knowledge concerning certain active predictors by eliminating the adverse impact of their coefficients in the estimation of remaining ones and thus significantly enhance the screening accuracy. We prove its sure-screening property under reasonable assumptions and demonstrate its utility in an application to a leukemia dataset. Moreover, based on the conditional approach, we introduce an iterative algorithm named as forward screening via ordinary least squares projection (FOLP), which not only could exploit the prior information more effectively, but also has promising performance when no prior knowledge is available using a data-driven conditioning set. Extensive simulation studies are carried out to demonstrate the competence of both proposed methods.

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