Date of Original Version
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Abstract or Description
Consider a linear model Y = Xβ + z, where X = Xn;p and z ≈ N(0; In). The vector β is unknown and it is of interest to separate its nonzero coordinates from the zero ones (i.e., variable selection). Motivated by examples in long-memory time series  and change point problem , we are primarily interested in the case where the Gram matrix G = X1X is non-sparse but sparsifiable by a finite order linear filter. We focus on the regime where signals are both rare and weak so that successful variable selection is very challenging but is still possible.
We approach this problem by a new procedure called the Covariance Assisted Screening and Estimation (CASE). CASE first uses a linear filtering to reduce the original setting to a new regression model where the corresponding Gram (covariance) matrix is sparse. The new covariance matrix induces a sparse graph, which guides us to conduct multivariate screening without visiting all the submodels. By interacting with the signal sparsity, the graph enables us to decompose the original problem into many separated small-size subproblems (if only we know where they are!). Linear filtering also induces a so-called problem of information leakage, which can be overcome by the newly introduced patching technique. Together, these give rise to CASE, which is a two-stage Screen and Clean [10, 32] procedure, where we first identify candidates of these submodels by patching and screening, and then re-examine each candidate to remove false positives.