Can linear algebra create perfect knockoffs?
Methodology
2025-02-05 v1
Abstract
As new Model-X knockoff construction techniques are developed, primarily concerned with determining the correct conditional distribution from which to sample, we focus less on deriving the correct multivariate distribution and instead ask if ``perfect'' knockoffs can be constructed using linear algebra. Using mean absolute correlation between knockoffs and features as a measure of quality, we do produce knockoffs that are pseudo-perfect, however, the optimization algorithm is computationally very expensive. We outline a series of methods to significantly reduce the computation time of the algorithm.
Cite
@article{arxiv.2502.02148,
title = {Can linear algebra create perfect knockoffs?},
author = {Christopher Hemmens and Stephan Robert-Nicoud},
journal= {arXiv preprint arXiv:2502.02148},
year = {2025}
}
Comments
11 pages