Relaxing the Assumptions of Knockoffs by Conditioning

7 Mar 2019 Dongming Huang Lucas Janson

The recent paper Cand\`es et al. (2018) introduced model-X knockoffs, a method for variable selection that provably and non-asymptotically controls the false discovery rate with no restrictions or assumptions on the dimensionality of the data or the conditional distribution of the response given the covariates. The one requirement for the procedure is that the covariate samples are drawn independently and identically from a precisely-known (but arbitrary) distribution... (read more)

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