On the sure screening property of the iterative sure independence screening algorithm
The iterative version of the sure independence screening algorithm (ISIS) has been widely employed in various scientific fields since Fan and Lv [2008] proposed it. Despite the outstanding performance of ISIS in extensive applications, its sure screening property has not been theoretically verified during the past decade. To fill this gap, we adapt a technique of Wang [2009] in the context of forward regression (FR) to prove the sure screening property of ISIS, without relying on the marginal correlation assumption.
READ FULL TEXT