# The cumulative Kolmogorov filter for model-free screening in ultrahigh dimensional data

## TL;DR

This paper introduces a cumulative Kolmogorov filter that enhances model-free screening in ultrahigh-dimensional data by improving theoretical properties and demonstrating better finite sample performance.

## Contribution

It develops a new cumulative Kolmogorov filter that extends the fused Kolmogorov filter with cumulative slicing, offering improved asymptotic results and practical performance.

## Key findings

- Enhanced finite sample performance demonstrated numerically
- Improved asymptotic results under relaxed assumptions
- Extension of the fused Kolmogorov filter with cumulative slicing

## Abstract

We propose a cumulative Kolmogorov filter to improve the fused Kolmogorov filter proposed by Zou (2015) via cumulative slicing. We establish an improved asymptotic result under relaxed assumptions and numerically demonstrate its enhanced finite sample performance.