Robust rank correlation based screening

Li, Gaorong, Peng, Heng, Zhang, Jun, Zhu, Lixing . The Annals of Statistics 2012. 40 (3) :1846-1877

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  Author = {Li, Gaorong and Peng, Heng and Zhang, Jun and Zhu, Lixing},
  Title = {Robust rank correlation based screening},
  Journal = {The Annals of Statistics},
  Volume = {40},
  Number = {3},
  Year = {2012},
  Pages = {1846--1877},
  Keywords = {Multivariate normal distribution, Covariance matrix, Parameter identification, Gaussian distribution, Structural equation model, Graphical model, Dimensionality reduction, semiparametric models, SIS, Variable selection, Large p small n, rank correlation screening}

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