• The Korean Journal of Applied Statistics
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• v.30 no.5
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• pp.793-808
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• 2017

We compare various variable screening methods on multiclass classification problems when the data is ultrahigh-dimensional. Two different approaches were considered: (1) pairwise extension from binary classification via one versus one or one versus rest comparisons and (2) direct classification of multiclass responses. We conducted extensive simulation studies under different conditions: heavy tailed explanatory variables, correlated signal and noise variables, correlated joint distributions but uncorrelated marginals, and unbalanced response variables. We then analyzed real data to examine the performance of the methods. The results showed that model-free methods perform better for multiclass classification problems as well as binary ones.