High‐dimensional feature screening for nonlinear associations with survival outcome using restricted mean survival time

SummaryFeature screening is an important tool in analysing ultrahigh‐dimensional data, particularly in the field of Omics and oncology studies. However, most attention has been focused on identifying features that have a linear or monotonic impact on the response variable. Detecting a sparse set of variables that have a nonlinear or nonmonotonic relationship with the response variable is still a challenging task. To fill the gap, this paper proposed a robust model‐free screening approach for right‐censored survival data by providing a new perspective of quantifying the covariate effect on the restricted mean survival time, rather than the routinely used hazard function. The proposed measure, based on the difference between the restricted mean survival time of covariate‐stratified and overall data, is able to identify comprehensive types of associations including linear, nonlinear, nonmonotone and even local dependencies like change points. The sure screening property is established, and a more flexible iterative screening procedure is developed to increase the accuracy of the variable screening. Simulation studies are carried out to demonstrate the superiority of the proposed method in selecting important features with a complex association with the response variable. The potential of applying the proposed method to handle interval‐censored failure time data has also been explored in simulations, and the results have been promising. The method is applied to a breast cancer dataset to identify potential prognostic factors, which reveals potential associations between breast cancer and lymphoma.