High-dimensional data, data in which the number of dimensions exceeds the number of observations, is increasingly common in statistics. The term "ultra-high dimensional" is defined by Fan and Lv (2008) as describing the situation where log(p) is of order O(na) for some a in the interval (0, ½). It arises in many contexts such as gene expression data, proteomic data, imaging data, tomography, and finance, as well as others. High-dimensional data present a challenge to traditional statistical techniques. In traditional statistical settings, models have a small number of features, chosen based on an assumption of what features may be relevant to the response of interest. In the high-dimensional setting, many of the techniques of traditional feature selection become computationally intractable, or does not yield unique solutions. Current research in modeling high-dimensional data is heavily focused on methods that screen the features before modeling; that is, methods that eliminate noise-features as a pre-modeling dimension reduction. Typically noise feature are identified by exploiting properties of independent random variables, thus the term "independence screening." There are methods for modeling high-dimensional data without feature screening first (e.g. LASSO or SCAD), but simulation studies show screen-first methods perform better as dimensionality increases. Many proposals for independence screening exist, but in my literature review certain themes recurred: A) The assumption of sparsity: that all the useful information in the data is actually contained in a small fraction of the features (the "active features"), the rest being essentially random noise (the "inactive" features). B) In many newer methods, initial dimension reduction by feature screening reduces the problem from the high-dimensional case to a classical case; feature selection then proceeds by a classical method. C) In the initial screening, removal of features independent of the response is highly desirable, as such features literally give no information about the response. D) For the initial screening, some statistic is applied pairwise to each feature in combination with the response; the specific statistic chosen so that in the case that the two random variables are independent, a specific known value is expected for the statistic. E) Features are ranked by the absolute difference between the calculated statistic and the expected value of that statistic in the independent case, i.e. features that are most different from the independent case are most preferred. F) Proof is typically offered that, asymptotically, the method retains the true active features with probability approaching one. G) Where possible, an iterative version of the process is explored, as iterative versions do much better at identifying features that are active in their interactions, but not active individually.

Data for which the number of predictors exponentially exceeds the number of observations is becoming increasingly prevalent in fields such as bioinformatics, medical imaging, computer vision, And social network analysis. One of the leading questions statisticians must answer when confronted with such “big data” is how to reduce a set of exponentially many predictors down to a set of a mere few predictors which have a truly causative effect on the response being modelled. This process is often referred to as feature screening. In this work we propose three new methods for feature screening. The first method we propose (TC-SIS) is specifically intended for use with data having both categorical response and predictors. The second method we propose (JCIS) is meant for feature screening for interactions between predictors. JCIS is rare among interaction screening methods in that it does not require first finding a set of causative main effects before screening for interactive effects. Our final method (GenCorr) is intended for use with data having a multivariate response. GenCorr is the only method for multivariate screening which can screen for both causative main effects and causative interactions. Each of these aforementioned methods will be shown to possess both theoretical robustness as well as empirical agility.

High dimensional data have been frequently collected in many fields of scientific research and technological development. The traditional idea of best subset selection methods, which use penalized L_0 regularization, is computationally too expensive for many modern statistical applications. A large number of variable selection approaches via various forms of penalized least squares or likelihood have been developed to select significant variables and estimate their effects simultaneously in high dimensional statistical inference. However, in modern applications in areas such as genomics and proteomics, ultra-high dimensional data are often collected, where the dimension of data may grow exponentially with the sample size. In such problems, the regularization methods can become computationally unstable or even infeasible. To deal with the ultra-high dimensionality, Fan and Lv (2008) proposed a variable screening procedure via correlation learning to reduce dimensionality in sparse ultra-high dimensional models. Since then many authors further developed the procedure and applied to various statistical models. However, they all focused on single type of predictors, that is, the predictors are either all continuous or all discrete. In practice, we often collect mixed type of data, which contains both continuous and discrete predictors. For example, in genetic studies, we can collect information on both gene expression profiles and single nucleotide polymorphism (SNP) genotypes. Furthermore, outliers are often present in the observations due to experimental errors and other reasons. And the true trend underlying the data might not follow the parametric models assumed in many existing screening procedures. Hence a robust screening procedure against outliers and model misspecification is desired. In my dissertation, I shall propose a robust feature screening procedure for mixed type of data. To gain insights on screening for individual types of data, I first studied feature screening procedures for single type of data in Chapter 2 based on marginal quantities. For each type of data, new feature screening procedures are proposed and simulation studies are performed to compare their performances with existing procedures. The aim is to identify a best robust screening procedure for each type of data. In Chapter 3, I combine these best screening procedures to form the robust feature screening procedure for mixed type of data. Its performance will be assessed by simulation studies. I shall further illustrate the proposed procedure by the analysis of a real example. / Ph. D. / In modern applications in areas such as genomics and proteomics, ultra-high dimensional data are often collected, where the dimension of data may grow exponentially with the sample size. To deal with the ultra-high dimensionality, Fan and Lv (2008) proposed a variable screening procedure via correlation learning to reduce dimensionality in sparse ultra-high dimensional models. Since then many authors further developed the procedure and applied to various statistical models. However, they all focused on single type of predictors, that is, the predictors are either all continuous or all discrete. In practice, we often collect mixed type of data, which contains both continuous and discrete predictors. Furthermore, outliers are often present in the observations due to experimental errors and other reasons. Hence a robust screening procedure against outliers and model misspecification is desired. In my dissertation, I shall propose a robust feature screening procedure for mixed type of data. I first studied feature screening procedures for single type of data based on marginal quantities. For each type of data, new feature screening procedures are proposed and simulation studies are performed to compare their performances with existing procedures. The aim is to identify a best robust screening procedure for each type of data. Then i combined these best screening procedures to form the robust feature screening procedure for mixed type of data. Its performance will be assessed by simulation studies and the analysis of real examples.

Sparse machine learning models have become increasingly popular in analyzing high-dimensional data. With the evolving era of Big Data, ultrahigh-dimensional, large-scale data sets are constantly collected in many areas such as genetics, genomics, biomedical imaging, social media analysis, and high-frequency finance. Mining valuable information efficiently from these massive data sets requires not only novel statistical models but also advanced computational techniques. This thesis focuses on the development of scalable sparse machine learning methods to facilitate Big Data analytics. Built upon the feature screening technique, the first part of this thesis proposes a family of hybrid safe-strong rules (HSSR) that incorporate safe screening rules into the sequential strong rule to remove unnecessary computational burden for solving the \textit{lasso-type} models. We present two instances of HSSR, namely SSR-Dome and SSR-BEDPP, for the standard lasso problem. We further extend SSR-BEDPP to the elastic net and group lasso problems to demonstrate the generalizability of the hybrid screening idea. In the second part, we design and implement an R package called \texttt{biglasso} to extend the lasso model fitting to Big Data in R. Our package \texttt{biglasso} utilizes memory-mapped files to store the massive data on the disk, only reading data into memory when necessary during model fitting, and is thus able to handle \textit{data-larger-than-RAM} cases seamlessly. Moreover, it's built upon our redesigned algorithm incorporated with the proposed HSSR screening, making it much more memory- and computation-efficient than existing R packages. Extensive numerical experiments with synthetic and real data sets are conducted in both parts to show the effectiveness of the proposed methods. In the third part, we consider a novel statistical model, namely the overlapping group logistic regression model, that allows for selecting important groups of features that are associated with binary outcomes in the setting where the features belong to overlapping groups. We conduct systematic simulations and real-data studies to show its advantages in the application of genetic pathway selection. We implement an R package called \texttt{grpregOverlap} that has HSSR screening built in for fitting overlapping group lasso models.

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This dissertation is dedicated to study the modeling of drift control in foreign exchange reserves management and design the fast algorithm of statistical inference with its application in high dimensional data analysis. The thesis has two parts. The first topic involves the modeling of foreign exchange reserve management as an drift control problem. We show that, under certain conditions, the control band policies are optimal for the discounted cost drift control problem and develop an algorithm to calculate the optimal thresholds of the optimal control band policy. The second topic involves the fast computing algorithm of partial distance covariance statistics with its application in feature screening in high dimensional data. We show that an O(n log n) algorithm for a version of the partial distance covariance exists, compared with the O(n^2) algorithm implemented directly accordingly to its definition. We further propose an iterative feature screening procedure in high dimensional data based on the partial distance covariance. This procedure enjoys two advantages over the correlation learning. First, an important predictor that is marginally uncorrelated but jointly correlated with the response can be picked by our procedure and thus entering the estimation model. Second, our procedure is robust to model mis- specification.