Related papers: A Power Analysis for Model-X Knockoffs with $\ell_…
Model-free knockoffs is a recently proposed technique for identifying covariates that is likely to have an effect on a response variable. The method is an efficient method to control the false discovery rate in hypothesis tests for separate…
A core strength of knockoff methods is their virtually limitless customizability, allowing an analyst to exploit machine learning algorithms and domain knowledge without threatening the method's robust finite-sample false discovery rate…
A fundamental problem in the high-dimensional regression is to understand the tradeoff between type I and type II errors or, equivalently, false discovery rate (FDR) and power in variable selection. To address this important problem, we…
In many fields of science, we observe a response variable together with a large number of potential explanatory variables, and would like to be able to discover which variables are truly associated with the response. At the same time, we…
Power and reproducibility are key to enabling refined scientific discoveries in contemporary big data applications with general high-dimensional nonlinear models. In this paper, we provide theoretical foundations on the power and robustness…
Approximate Message Passing (AMP) algorithms are a class of iterative procedures for computationally-efficient estimation in high-dimensional inference and estimation tasks. Due to the presence of an 'Onsager' correction term in its…
This paper develops a framework for testing for associations in a possibly high-dimensional linear model where the number of features/variables may far exceed the number of observational units. In this framework, the observations are split…
Interpretability and stability are two important features that are desired in many contemporary big data applications arising in economics and finance. While the former is enjoyed to some extent by many existing forecasting approaches, the…
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…
We address challenges in variable selection with highly correlated data that are frequently present in finance, economics, but also in complex natural systems as e.g. weather. We develop a robustified version of the knockoff framework,…
In many research fields, researchers aim to identify significant associations between a set of explanatory variables and a response while controlling the FDR. The Knockoff filter has been recently proposed in the frequentist paradigm to…
Many penalized maximum likelihood estimators correspond to posterior mode estimators under specific prior distributions. Appropriateness of a particular class of penalty functions can therefore be interpreted as the appropriateness of a…
Approximate message passing (AMP) refers to a class of efficient algorithms for statistical estimation in high-dimensional problems such as compressed sensing and low-rank matrix estimation. This paper analyzes the performance of AMP in the…
Predictive modeling often uses black box machine learning methods, such as deep neural networks, to achieve state-of-the-art performance. In scientific domains, the scientist often wishes to discover which features are actually important…
Modern scientific studies often require the identification of a subset of relevant explanatory variables, in the attempt to understand an interesting phenomenon. Several statistical methods have been developed to automate this task, but…
Variable selection is a problem of statistics that aims to find the subset of the $N$-dimensional possible explanatory variables that are truly related to the generation process of the response variable. In high-dimensional setups, where…
This paper is concerned with the selection and estimation of fixed and random effects in linear mixed effects models. We propose a class of nonconcave penalized profile likelihood methods for selecting and estimating important fixed…
We consider the problem of localizing change points in a generalized linear model (GLM), a model that covers many widely studied problems in statistical learning including linear, logistic, and rectified linear regression. We propose a…
Selecting important features that have substantial effects on the response with provable type-I error rate control is a fundamental concern in statistics, with wide-ranging practical applications. Existing knockoff filters, although shown…
Approximate Message Passing (AMP) algorithmshave recently gathered significant attention across disciplines such as statistical physics, machine learning, and communication systems. This study aims to extend AMP algorithms to non-symmetric…