On the sure screening property of the iterative sure independence screening algorithm
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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.
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