Wavelet Covariate Screening. Applications in High Dimensional Data Analysis.

• Grant number: 23/12361-0
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: October 01, 2023
• End date: September 30, 2024
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Statistics
• Principal Investigator: Aluísio de Souza Pinheiro
• Grantee: Vitor Ribas Perrone
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 23/02538-0 - Time series, wavelets, high dimensional data and applications, AP.TEM

Abstract

We consider a high dimensional dynamic regression model. This means that we have a high number of covariates as well as a large number of sampled points on time, with a corresponding substantial dynamic effect. Some basic screening techniques are studied, and the efficiency of pre-screening dimensional reduction is discussed as well. Both paradigms of generalized correlation ands dimensional reduction are employed via wavelet representations.