袁攀旭, 李高荣. Knockoff方法研究进展综述[J]. 应用概率统计, 2024, 40(3): 463-497. DOI: 10.3969/j.issn.1001-4268.2024.03.008
引用本文: 袁攀旭, 李高荣. Knockoff方法研究进展综述[J]. 应用概率统计, 2024, 40(3): 463-497. DOI: 10.3969/j.issn.1001-4268.2024.03.008
YUAN P X, LI G R. Overview of research advance for knockoff methods [J]. Chinese J Appl Probab Statist, 2024, 40(3): 463−497. DOI: 10.3969/j.issn.1001-4268.2024.03.008
Citation: YUAN P X, LI G R. Overview of research advance for knockoff methods [J]. Chinese J Appl Probab Statist, 2024, 40(3): 463−497. DOI: 10.3969/j.issn.1001-4268.2024.03.008

Knockoff方法研究进展综述

Overview of Research Advance for Knockoff Methods

  • 摘要: 随着现代科学技术的快速发展, 大数据时代正向我们走来. 此时, 统计方法的可重复性对于提高科学研究的严谨性至关重要. Barber 和 Candès48 提出的 knockoff 方法是一种可结合任意特征重要性得分的变量选择算法, 在发现真实效应的同时严格控制错误发现率 (false discovery rate, FDR), 其核心想法是构造称为 knockoff 的合成变量来模仿原始变量之间的相关结构. 该方法无需计算 p-值而在近年来受到广泛关注, 成为当今统计和机器学习最热点的研究领域. 本文主要介绍 knockoff 方法的最新研究进展, 并简要探讨未来可能的研究方向.

     

    Abstract: With the rapid development of modern science and technology, the era of big data is coming to us. At this time, the reproducibility of statistical methods is pivotal for improving rigor in scientific research. The knockoff procedure proposed in Barber and Candès48 is a general variable selection algorithm that can leverage any feature importance score to discover true effects while rigorously controlling false discovery rate (FDR). The main idea is to construct synthetic variables called knockoffs to mimic the correlation structure found within the original variables. This method has received much attention in recent years because it completely bypasses the computation of p-values, and has become the most popular research area in statistics and machine learning. This paper mainly introduces the newly research advance in knockoff procedure and briefly discusses some future directions.

     

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