• Corpus ID: 238634585

The Terminating-Knockoff Filter: Fast High-Dimensional Variable Selection with False Discovery Rate Control

@inproceedings{Machkour2021TheTF,
  title={The Terminating-Knockoff Filter: Fast High-Dimensional Variable Selection with False Discovery Rate Control},
  author={Jasin Machkour and Michael Muma and Daniel P{\'e}rez Palomar},
  year={2021}
}
We propose the Terminating-Knockoff (T-Knock) filter, a fast variable selection method for high-dimensional data. The T-Knock filter controls a user-defined target false discovery rate (FDR) while maximizing the number of selected variables. This is achieved by fusing the solutions of multiple early terminated random experiments. The experiments are conducted on a combination of the original predictors and multiple sets of randomly generated knockoff predictors. A finite sample proof based on… 

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