Adjusting the Benjamini-Hochberg method for controlling the false discovery rate in knockoff-assisted variable selection
成果类型：
Article
署名作者：
Sarkar, Sanat K.; Tang, Cheng Yong
署名单位：
Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/asab066
发表日期：
2022
页码：
11491155
关键词：
摘要：
We consider the knockoff-based multiple testing set-up of Barber & Candes (2015). for variable selection in multiple regression. The method of Benjamini & Hochberg (1995) and an adaptive version of it are adjusted to this set-up, transforming them to valid p-value-based, false discovery rate-controlling methods that do not rely on specifying the correlation structure of the explanatory variables. Simulations and real data applications show that the proposed methods are powerful competitors of the false discovery rate-controlling method of Barber & Candes (2015).