The revisited knockoffs method for variable selection in L1-penalised regressions
From MaRDI portal
Publication:144346
DOI10.48550/ARXIV.1907.03153arXiv1907.03153MaRDI QIDQ144346FDOQ144346
Authors: Anne Gégout-Petit, Aurélie Gueudin-Muller, Clémence Karmann 
Publication date: 6 July 2019
Abstract: We consider the problem of variable selection in regression models. In particular, we are interested in selecting explanatory covariates linked with the response variable and we want to determine which covariates are relevant, that is which covariates are involved in the model. In this framework, we deal with L1-penalised regression models. To handle the choice of the penalty parameter to perform variable selection, we develop a new method based on the knockoffs idea. This revisited knockoffs method is general, suitable for a wide range of regressions with various types of response variables. Besides, it also works when the number of observations is smaller than the number of covariates and gives an order of importance of the covariates. Finally, we provide many experimental results to corroborate our method and compare it with other variable selection methods.
Cited In (1)
This page was built for publication: The revisited knockoffs method for variable selection in L1-penalised regressions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q144346)
