Abstract
The vast availability of massive (or large scale) and big data has increased the computational cost of data analysis. One such case is the computational cost of the univariate filtering that typically involves fitting many univariate regression models and is essential for numerous variable selection algorithms to reduce the number of predictor variables. The paper manifests how to dramatically reduce that computational cost by employing the score test or the simple Pearson correlation. Extensive Monte Carlo simulation studies will demonstrate their advantages and disadvantages compared to the likelihood ratio test and examples with real data will illustrate the performance of the score test and the log-likelihood ratio test under realistic scenarios. Depending on the regression model used, the score test is 30 - 6, 000 times faster than the log-likelihood ratio test and produces nearly the same results. Hence this paper strongly recommends to substitute the log-likelihood ratio test with the score test for the task of univariate filtering when coping with massive data, big data, or even data whose sample size is in the order of a few tens of thousands or higher.