MULTILAYER KNOCKOFF FILTER: CONTROLLED VARIABLE SELECTION AT MULTIPLE RESOLUTIONS

• 成果类型: Article
• 署名作者: Katsevich, Eugene; Sabatti, Chiara
• 署名单位: Stanford University
• 刊物名称: ANNALS OF APPLIED STATISTICS
• ISSN/ISSBN: 1932-6157
• DOI: 10.1214/18-AOAS1185
• 发表日期: 2019
• 页码: 1-33
• 关键词: false discovery rate; regularization; inference

摘要

We tackle the problem of selecting from among a large number of variables those that are important for an outcome. We consider situations where groups of variables are also of interest. For example, each variable might be a genetic polymorphism, and we might want to study how a trait depends on variability in genes, segments of DNA that typically contain multiple such polymorphisms. In this context, to discover that a variable is relevant for the outcome implies discovering that the larger entity it represents is also important. To guarantee meaningful results with high chance of replicability, we suggest controlling the rate of false discoveries for findings at the level of individual variables and at the level of groups. Building on the knockoff construction of Barber and Candes [Ann. Statist. 43 (2015) 2055-2085] and the multilayer testing framework of Barber and Ramdas [J. Roy. Statist. Soc. Ser. B 79 (2017) 1247-1268], we introduce the multilayer knockoff filter (MKF). We prove that MKF simultaneously controls the FDR at each resolution and use simulations to show that it incurs little power loss compared to methods that provide guarantees only for the discoveries of individual variables. We apply MKF to analyze a genetic dataset and find that it successfully reduces the number of false gene discoveries without a significant reduction in power.