Derandomizing Knockoffs
Model-X knockoffs is a general procedure that can leverage any feature importance measure to produce a variable selection algorithm, which discovers true effects while rigorously controlling the number or fraction of false positives. Model-X knockoffs is a randomized procedure which relies on the one-time construction of synthetic (random) variables… This paper introduces a derandomization method by aggregating the selection results across multiple runs of the knockoffs algorithm. The derandomization step is designed to be flexible and can be adapted to […]
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