High-dimensional variable selection is an important issue in many scientific fields, such as genomics. In this paper, we develop a sure independence feature screening pro- cedure based on kernel canonical correlation analysis (KCCA-SIS, for short). KCCA- SIS is easy to be implemented and applied. Compared to the sure independence screen- ing procedure based on the Pearson correlation (SIS, for short) developed by Fan and Lv [2008], KCCA-SIS can handle nonlinear dependencies among variables. Compared to the sure independence screening procedure based on the distance correlation (DC- SIS, for short) proposed by Li et al. [2012], KCCA-SIS is scale free, distribution free and has better approximation results based on the universal characteristic of Gaussian Kernel (Micchelli et al. [2006]). KCCA-SIS is more general than SIS and DC-SIS in the sense that SIS and DC-SIS correspond to certain choice of kernels. Compared to supremum of Hilbert Schmidt independence criterion-Sure independence screening (sup-HSIC-SIS, for short) developed by Balasubramanian et al. [2013], KCCA-SIS is scale free removing the marginal variation of features and response variables. No model assumption is needed between response and predictors to apply KCCA-SIS and it can be used in ultrahigh dimensional data analysis. Similar to DC-SIS and sup- HSIC-SIS, KCCA-SIS can also be used directly to screen grouped predictors and for multivariate response variables. We show that KCCA-SIS has the sure screening prop- erty, and has better performance through simulation studies. We applied KCCA-SIS to study Autism genes in a spatiotemporal gene expression dataset for human brain development, and obtained better results based on gene ontology enrichment analysis comparing to the other existing methods.
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