Robust feature screening for multi-response trans-elliptical regression model with ultrahigh-dimensional covariates

In this paper, we innovatively propose an extremely flexible semi-parametric regression model called Multi-response Trans-Elliptical Regression (MTER) Model, which can capture the heavy-tail characteristic and tail dependence of both responses and covariates. We investigate the feature screening procedure for the MTER model, in which Kendall’ tau-based canonical correlation estimators are proposed to characterize the correlation between each transformed predictor and the multivariate transformed responses. The main idea is to substitute the classical canonical correlation ranking index in [X. B. Kong, Z. Liu, Y. Yao and W. Zhou, Sure screening by ranking the canonical correlations, TEST 26 (2017) 1–25] by a carefully constructed non-parametric version. The sure screening property and ranking consistency property are established for the proposed procedure. Simulation results show that the proposed method is much more powerful to distinguish the informative features from the unimportant ones than some state-of-the-art competitors, especially for heavy-tailed distributions and high-dimensional response. At last, a real data example is given to illustrate the effectiveness of the proposed procedure.