Ultra-high-dimensional feature screening of binary categorical response data based on Jensen-Shannon divergence

Currently, most of the ultra-high-dimensional feature screening methods for categorical data are based on the correlation between covariates and response variables, using some statistics as the screening index to screen important covariates. Thus, with the increasing number of data types and model availability limitations, there may be a potential problem with the existence of a class of unimportant covariates that are also highly correlated with the response variable due to their high correlation with the other covariates. To address this issue, in this paper, we establish a model-free feature screening procedure for binary categorical response variables from the perspective of the contribution of features to classification. The idea is to introduce the Jensen-Shannon divergence to measure the difference between the conditional probability distributions of the covariates when the response variables take on different values. The larger the value of the Jensen-Shannon divergence, the stronger the covariate's contribution to the classification of the response variable, and the more important the covariate is. We propose two kinds of model-free ultra-high-dimensional feature screening methods for binary response data. Meanwhile, the methods are suitable for continuous or categorical covariates. When the numbers of covariate categories are the same, the feature screening is based on traditional Jensen-Shannon divergence. When the numbers of covariate categories are different, the Jensen-Shannon divergence is adjusted using the logarithmic factor of the number of categories. We theoretically prove that the proposed methods have sure screening and ranking consistency properties, and through simulations and real data analysis, we demonstrate that, in feature screening, the approaches proposed in this paper have the advantages of effectiveness, stability, and less computing time compared with an existing method.