Improving the Stability of the Knockoff Procedure: Multiple Simultaneous Knockoffs and Entropy Maximization

26 Oct 2018Jaime Roquero GimenezJames Zou

The Model-X knockoff procedure has recently emerged as a powerful approach for feature selection with statistical guarantees. The advantage of knockoff is that if we have a good model of the features X, then we can identify salient features without knowing anything about how the outcome Y depends on X... (read more)

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