BCor-SIS is a generic nonparametric sure independence screening procedure, on the basis of a recently developed universal dependence measure: Ball correlation.
Our proposed SIS procedure, called BCor-SIS, is a generic method that is model-free and has fewer and less restrictive data assumptions. Four defining characteristics of BCor-SIS are given here. i) It has a strong screening consistency property without finite sub-exponential moments of the data even when the dimensionality is an exponential order of the sample size since empirical BCor is a function of some indictors. ii) It is nonparametric and has the property of robustness, which is also due to the boundedness of the empirical BCor. iii) It works well for complex responses and/or predictors from the definition of BCor. iv) It can extract important features even when the underlying model is complicated.