Aggregation of Multiple Knockoffs

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Tuan-Binh Nguyen, Jerome-Alexis Chevalier, Thirion Bertrand, Sylvain Arlot


<p>We develop an extension of the knockoff inference procedure, introduced by Barber &amp; Candes (2015). This new method, called Aggregation of Multiple Knockoffs (AKO), addresses the instability inherent to the random nature of knockoff-based inference. Specifically, AKO improves both the stability and power compared with the original knockoff algorithm while still maintaining guarantees for false discovery rate control. We provide a new inference procedure, prove its core properties, and demonstrate its benefits in a set of experiments on synthetic and real datasets.</p>