March 06, 2012
This slideshow of a talk given by Runze Li describes a model-free feature screening method for ultrahigh-dimensional data. Most existing work on feature selection for high-dimensional data considers linear models, but the proposed method is model free; it does not impose model structure on a regression function.
Zhu, L., Li, L., Li, R., & Zhu, L. (2011). Model-free feature screening for ultrahigh dimensional data. Journal of the American Statistical Association, 106(496) 1475.