arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2203.04483stat.MEcs.AI
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基于误差的受控特征选择的Knockoffs推理

Error-based Knockoffs Inference for Controlled Feature Selection

Huazhong Agricultural University(华中农业大学);Xi’an Jiaotong University(西安交通大学);Southern University of Science and Technology(南方科技大学)

Xuebin Zhao, Hong Chen, Yingjie Wang, Weifu Li, Tieliang Gong, Yulong Wang, Feng Zheng

摘要:

最近,X模型仿制品方案被提出作为一个有前途的解决方案,以解决高维有限样本设置下的控制特征选择。然而,模型X的仿制过程严重依赖于基于系数的特征重要性,并且仅涉及错误发现率(FDR)的控制。为了进一步提高其自适应性和灵活性,在本文中,我们提出了一个基于错误的敲除推理方法集成敲除功能,基于错误的特征重要性统计,和降压过程在一起。建议的推理过程不需要指定一个回归模型,并可以处理与控制错误发现比例(FDP),FDR,或k-familywise错误率(k-FWER)的理论保证的特征选择。实证评估表明,我们的方法在模拟和真实数据的竞争力。

英文摘要:

Recently, the scheme of model-X knockoffs was proposed as a promising solution to address controlled feature selection under high-dimensional finite-sample settings. However, the procedure of model-X knockoffs depends heavily on the coefficient-based feature importance and only concerns the control of false discovery rate (FDR). To further improve its adaptivity and flexibility, in this paper, we propose an error-based knockoff inference method by integrating the knockoff features, the error-based feature importance statistics, and the stepdown procedure together. The proposed inference procedure does not require specifying a regression model and can handle feature selection with theoretical guarantees on controlling false discovery proportion (FDP), FDR, or k-familywise error rate (k-FWER). Empirical evaluations demonstrate the competitive performance of our approach on both simulated and real data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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