Robust inference with knockoffs (Q2196226)

There is a research in the domain of variable selection. If the variables \(X_1,\dots,X_p\) provide information about a response $Y$, the goal is to identify the important ones, i.e., the smallest set $S\subseteq\{1,\dots,p\}$ such that $Y$ is independent of the information from $\{(X_j)\}_{j\notin S}$. The set $S$ is known under the name of Markov blanket of $Y$. The focus in the article is on those variable selection methods that could control the false discovery rate, FDR. The authors refer to the ``model-X knockoffs'' approach developed 2018, in the paper by \textit{E. Candès} et al. [J. R. Stat. Soc., Ser. B, Stat. Methodol. 80, No. 3, 551--577 (2018; Zbl 1398.62335)]. The purpose is to investigate FDR control when running the knockoff filter with estimates of the distribution on $X$ instead of the true distribution \(P_X\). The second section is devoted to the introduction of basics on robust inference with knockoffs, the third section to the presentation of FDR control results and the fourth section to some concrete examples. The proofs of all results are contained in Appendix A.