SILO



The weekly SILO Seminar Series is made possible through the generous support of the 3M Company and its Advanced Technology Group

3M

with additional support from the Analytics Group of the Northwestern Mutual Life Insurance Company

Northwestern Mutual

Robust inference with the knockoff filter

Rina Foygel Barber,

Date and Time: Nov 29, 2017 (12:30 PM)
Location: Orchard room (3280) at the Wisconsin Institute for Discovery Building

Abstract:

In this talk, I will present ongoing work on the knockoff filter for inference in regression. In a high-dimensional model selection problem, we would like to select relevant features without too many false positives. The knockoff filter provides a tool for model selection by creating knockoff copies of each feature, testing the model selection algorithm for its ability to distinguish true from false covariates to control the false positives. In practice, the modeling assumptions that underlie the construction of the knockoffs may be violated. Our ongoing work aims to determine and improve the robustness properties of the knockoff framework. This work is joint with Emmanuel Candès and Richard Samworth.