New perspectives on knockoffs construction

DOI10.1016/J.JSPI.2022.07.006MaRDI QIDQ2095099zbMATH OpenOpenAlexFDO

Authors Patrizia Berti, Emanuela Dreassi, Fabrizio Leisen, Luca Pratelli, Pietro Rigo

Publication date 9 November 2022

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.07752

zbMATH Keywords

conditional independencecopulashigh-dimensional regressionknockoffsmultivariate dependencevariable selection

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) General nonlinear regression (62J02)

Abstract: Let $Lambda$ be the collection of all probability distributions for $(X,widetildeX)$, where $X$ is a fixed random vector and $widetildeX$ ranges over all possible knockoff copies of $X$ (in the sense of cite{CFJL18}). Three topics are developed in this paper: (i) A new characterization of $Lambda$ is proved; (ii) A certain subclass of $Lambda$, defined in terms of copulas, is introduced; (iii) The (meaningful) special case where the components of $X$ are conditionally independent is treated in depth. In real problems, after observing $X=x$, each of points (i)-(ii)-(iii) may be useful to generate a value $widetildex$ for $widetildeX$ conditionally on $X=x$.

Recommendations

• Metropolized Knockoff Sampling
• Relaxing the assumptions of knockoffs by conditioning
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• Deep knockoffs
• Robust inference with knockoffs

Cites work

• Causal inference in genetic trio studies
• Controlling the false discovery rate via knockoffs
• Gene hunting with hidden Markov model knockoffs
• Hierarchies of Archimedean copulas
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• Limit theorems for a class of identically distributed random variables.
• Metropolized Knockoff Sampling
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On the structure and estimation of hierarchical Archimedean copulas
• Pair-copula constructions of multiple dependence
• Panning for Gold: ‘Model-X’ Knockoffs for High Dimensional Controlled Variable Selection
• Robust inference with knockoffs

Cited in

(5)

• Rips construction without unique product
• Generating knockoffs via conditional independence
• Controlling the false discovery rate by a latent Gaussian copula knockoff procedure
• Derandomized Truncated D-vine Copula Knockoffs with e-values to control the false discovery rate
• Knockoffs for partially exchangeable categorical covariates

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