A KNOCKOFF FILTER FOR HIGH-DIMENSIONAL SELECTIVE INFERENCE By Rina Foygel Barber

@inproceedings{Barber2016AKF,
  title={A KNOCKOFF FILTER FOR HIGH-DIMENSIONAL SELECTIVE INFERENCE By Rina Foygel Barber},
  author={Rina Foygel Barber and Emmanuel J. Cand{\`e}s},
  year={2016}
}
This paper develops a framework for testing for associations in a possibly high-dimensional linear model where the number of features/variables may far exceed the number of observational units. In this framework, the observations are split into two groups, where the first group is used to screen for a set of potentially relevant variables, whereas the second is used for inference over this reduced set of variables; we also develop strategies for leveraging information from the first part of the… CONTINUE READING
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