Deep Knockoffs

• 成果类型: Article
• 署名作者: Romano, Yaniv; Sesia, Matteo; Candes, Emmanuel
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2019.1660174
• 发表日期: 2020
• 页码: 1861-1872
• 关键词: false discovery rate; MULTIVARIATE; tests

摘要

This article introduces a machine for sampling approximate model-X knockoffs for arbitrary and unspecified data distributions using deep generative models. The main idea is to iteratively refine a knockoff sampling mechanism until a criterion measuring the validity of the produced knockoffs is optimized; this criterion is inspired by the popular maximum mean discrepancy in machine learning and can be thought of as measuring the distance to pairwise exchangeability between original and knockoff features. By building upon the existing model-X framework, we thus obtain a flexible and model-free statistical tool to perform controlled variable selection. Extensive numerical experiments and quantitative tests confirm the generality, effectiveness, and power of our deep knockoff machines. Finally, we apply this new method to a real study of mutations linked to changes in drug resistance in the human immunodeficiency virus. for this article are available online.