A prototype knockoff filter for group selection with FDR control

Abstract

AbstractIn many applications, we need to study a linear regression model that consists of a response variable and a large number of potential explanatory variables, and determine which variables are truly associated with the response. In Foygel Barber & Candès (2015, Ann. Statist., 43, 2055–2085), the authors introduced a new variable selection procedure called the knockoff filter to control the false discovery rate (FDR) and proved that this method achieves exact FDR control. In this paper, we propose a prototype knockoff filter for group selection by extending the Reid–Tibshirani (2016, Biostatistics, 17, 364–376) prototype method. Our prototype knockoff filter improves the computational efficiency and statistical power of the Reid–Tibshirani prototype method when it is applied for group selection. In some cases when the group features are spanned by one or a few hidden factors, we demonstrate that the Principal Component Analysis (PCA) prototype knockoff filter outperforms the Dai–Foygel Barber (2016, 33rd International Conference on Machine Learning (ICML 2016)) group knockoff filter. We present several numerical experiments to compare our prototype knockoff filter with the Reid–Tibshirani prototype method and the group knockoff filter. We have also conducted some analysis of the knockoff filter. Our analysis reveals that some knockoff path method statistics, including the Lasso path statistic, may lead to loss of power for certain design matrices and a specially designed response even if their signal strengths are still relatively strong.