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Model-Free Feature Screening and FDR Control With Knockoff Features

Author

Listed:
  • Wanjun Liu
  • Yuan Ke
  • Jingyuan Liu
  • Runze Li

Abstract

This article proposes a model-free and data-adaptive feature screening method for ultrahigh-dimensional data. The proposed method is based on the projection correlation which measures the dependence between two random vectors. This projection correlation based method does not require specifying a regression model, and applies to data in the presence of heavy tails and multivariate responses. It enjoys both sure screening and rank consistency properties under weak assumptions. A two-step approach, with the help of knockoff features, is advocated to specify the threshold for feature screening such that the false discovery rate (FDR) is controlled under a prespecified level. The proposed two-step approach enjoys both sure screening and FDR control simultaneously if the prespecified FDR level is greater or equal to 1/s, where s is the number of active features. The superior empirical performance of the proposed method is illustrated by simulation examples and real data applications. Supplementary materials for this article are available online.

Suggested Citation

  • Wanjun Liu & Yuan Ke & Jingyuan Liu & Runze Li, 2022. "Model-Free Feature Screening and FDR Control With Knockoff Features," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(537), pages 428-443, January.
    • Handle: RePEc:taf:jnlasa:v:117:y:2022:i:537:p:428-443
    DOI: 10.1080/01621459.2020.1783274
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    Cited by:

    1. Yumei Ren & Guoqiang Tang & Xin Li & Xuchang Chen, 2023. "A Study of Multifactor Quantitative Stock-Selection Strategies Incorporating Knockoff and Elastic Net-Logistic Regression," Mathematics, MDPI, vol. 11(16), pages 1-20, August.
    2. Xiaochao Xia & Hao Ming, 2022. "A Flexibly Conditional Screening Approach via a Nonparametric Quantile Partial Correlation," Mathematics, MDPI, vol. 10(24), pages 1-32, December.
    3. Konstantin Gorgen & Abdolreza Nazemi & Melanie Schienle, 2022. "Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates," Papers 2206.06026, arXiv.org.

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