TY - JOUR
T1 - Power analysis of knockoff filters for correlated designs
AU - Liu, Jingbo
AU - Rigollet, Philippe
N1 - Funding Information:
JL was supported by the IDSS Wiener Fellowship. PR was supported by NSF awards IIS-BIGDATA-1838071, DMS-1712596 and CCF-TRIPODS-1740751; ONR grant N00014-17-1-2147.
Publisher Copyright:
© 2019 Neural information processing systems foundation. All rights reserved.
PY - 2019
Y1 - 2019
N2 - The knockoff filter introduced by Barber and Candès 2016 is an elegant framework for controlling the false discovery rate in variable selection. While empirical results indicate that this methodology is not too conservative, there is no conclusive theoretical result on its power. When the predictors are i.i.d. Gaussian, it is known that as the signal to noise ratio tend to infinity, the knockoff filter is consistent in the sense that one can make FDR go to 0 and power go to 1 simultaneously. In this work we study the case where the predictors have a general covariance matrix S. We introduce a simple functional called effective signal deficiency (ESD) of the covariance matrix of the predictors that predicts consistency of various variable selection methods. In particular, ESD reveals that the structure of the precision matrix plays a central role in consistency and therefore, so does the conditional independence structure of the predictors. To leverage this connection, we introduce Conditional Independence knockoff, a simple procedure that is able to compete with the more sophisticated knockoff filters and that is defined when the predictors obey a Gaussian tree graphical models (or when the graph is sufficiently sparse). Our theoretical results are supported by numerical evidence on synthetic data.
AB - The knockoff filter introduced by Barber and Candès 2016 is an elegant framework for controlling the false discovery rate in variable selection. While empirical results indicate that this methodology is not too conservative, there is no conclusive theoretical result on its power. When the predictors are i.i.d. Gaussian, it is known that as the signal to noise ratio tend to infinity, the knockoff filter is consistent in the sense that one can make FDR go to 0 and power go to 1 simultaneously. In this work we study the case where the predictors have a general covariance matrix S. We introduce a simple functional called effective signal deficiency (ESD) of the covariance matrix of the predictors that predicts consistency of various variable selection methods. In particular, ESD reveals that the structure of the precision matrix plays a central role in consistency and therefore, so does the conditional independence structure of the predictors. To leverage this connection, we introduce Conditional Independence knockoff, a simple procedure that is able to compete with the more sophisticated knockoff filters and that is defined when the predictors obey a Gaussian tree graphical models (or when the graph is sufficiently sparse). Our theoretical results are supported by numerical evidence on synthetic data.
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M3 - Conference article
AN - SCOPUS:85090169601
SN - 1049-5258
VL - 32
JO - Advances in Neural Information Processing Systems
JF - Advances in Neural Information Processing Systems
T2 - 33rd Annual Conference on Neural Information Processing Systems, NeurIPS 2019
Y2 - 8 December 2019 through 14 December 2019
ER -