Statistics and Data Science Seminar: Model-free Feature Screening and FDR Control with Knockoff Features, by Yuan Ke
October 21, 2020
4:00 PM - 4:50 PM
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Yuan Ke (University of Georgia): Model-free Feature Screening and FDR Control with Knockoff Features
We proposes a model-free and data-adaptive feature screening method for ultra-high 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 pre-specified level. The proposed two-step approach enjoys both sure screening and FDR control simultaneously if the pre-specified 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.
Oct 21, 2020
Oct 21, 2020