A knockoff filter for high-dimensional selective inference

DOI10.1214/18-AOS1755zbMath1444.62034arXiv1602.03574OpenAlexW2965676676MaRDI QIDQ2328050

Rina Foygel Barber, Emmanuel J. Candès

Publication date: 9 October 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.03574

zbMATH Keywords

variable selectionhigh-dimensional regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (42)

Null-free false discovery rate control using decoy permutations ⋮ The revisited knockoffs method for variable selection in L₁-penalized regressions ⋮ Empirical Bayes cumulative \(\ell\)-value multiple testing procedure for sparse sequences ⋮ An ensemble learning method for variable selection: application to high-dimensional data and missing values ⋮ Feature screening and FDR control with knockoff features for ultrahigh-dimensional right-censored data ⋮ Projection-based Inference for High-dimensional Linear Models ⋮ Determine the number of clusters by data augmentation ⋮ A powerful procedure that controls the false discovery rate with directional information ⋮ Compositional knockoff filter for high‐dimensional regression analysis of microbiome data ⋮ Knockoff procedure for false discovery rate control in high-dimensional data streams ⋮ A Critical Review of LASSO and Its Derivatives for Variable Selection Under Dependence Among Covariates ⋮ Threshold Selection in Feature Screening for Error Rate Control ⋮ Structure learning of exponential family graphical model with false discovery rate control ⋮ Knockoffs with side information ⋮ Testing Mediation Effects Using Logic of Boolean Matrices ⋮ Statistical proof? The problem of irreproducibility ⋮ A power analysis for Model-X knockoffs with \(\ell_p\)-regularized statistics ⋮ False Discovery Rate Control via Data Splitting ⋮ Model-Free Conditional Feature Screening with FDR Control ⋮ Robust inference with knockoffs ⋮ A generalized knockoff procedure for FDR control in structural change detection ⋮ Derandomizing Knockoffs ⋮ Sufficient variable screening with high-dimensional controls ⋮ StarTrek: combinatorial variable selection with false discovery rate control ⋮ Adaptive procedures for directional false discovery rate control ⋮ Model-Free Feature Screening and FDR Control With Knockoff Features ⋮ IPAD: Stable Interpretable Forecasting with Knockoffs Inference ⋮ RANK: Large-Scale Inference With Graphical Nonlinear Knockoffs ⋮ FANOK: Knockoffs in Linear Time ⋮ Online rules for control of false discovery rate and false discovery exceedance ⋮ Two-directional simultaneous inference for high-dimensional models ⋮ Kernel Knockoffs Selection for Nonparametric Additive Models ⋮ Nonparametric false discovery rate control for identifying simultaneous signals ⋮ False Discovery Rate Control Under General Dependence By Symmetrized Data Aggregation ⋮ Learning sparse conditional distribution: an efficient kernel-based approach ⋮ Multicarving for high-dimensional post-selection inference ⋮ Selective inference via marginal screening for high dimensional classification ⋮ Reproducible feature selection in high-dimensional accelerated failure time models ⋮ Reproducible learning in large-scale graphical models ⋮ A knockoff filter for high-dimensional selective inference ⋮ Semi-supervised multiple testing ⋮ Revisiting feature selection for linear models with FDR and power guarantees

Uses Software

• covTest
• EigenPrism
• GitHub
• Eigenstrat
• selective-inference

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Familywise error rate control via knockoffs
• Exact post-selection inference, with application to the Lasso
• Valid post-selection inference
• High-dimensional variable selection
• Can one estimate the conditional distribution of post-model-selection estimators?
• Controlling the false discovery rate via knockoffs
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Type S error for classical and Bayesian single and multiple comparison procedures
• False discoveries occur early on the Lasso path
• John W. Tukey's contributions to multiple comparisons
• A significance test for the lasso
• A knockoff filter for high-dimensional selective inference
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• Selective inference with unknown variance via the square-root lasso
• Inference on Treatment Effects after Selection among High-Dimensional Controls
• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• Panning for Gold: ‘Model-X’ Knockoffs for High Dimensional Controlled Variable Selection
• Controlling Variable Selection by the Addition of Pseudovariables
• EigenPrism: Inference for High Dimensional Signal-to-Noise Ratios
• Sequential Selection Procedures and False Discovery Rate Control
• Graph estimation with joint additive models
• Asymptotics of Selective Inference
• Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
• False Discovery Rate–Adjusted Multiple Confidence Intervals for Selected Parameters

This page was built for publication: A knockoff filter for high-dimensional selective inference