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arXiv · 2210.12382

Model-free controlled variable selection via data splitting

Yixin Han·Xu Guo·Changliang Zou
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Abstract

Addressing the simultaneous identification of contributory variables while controlling the false discovery rate (FDR) in high-dimensional data is a crucial statistical challenge. In this paper, we propose a novel model-free variable selection procedure in sufficient dimension reduction framework via a data splitting technique. The variable selection problem is first converted to a least squares procedure with several response transformations. We construct a series of statistics with global symmetry property and leverage the symmetry to derive a data-driven threshold aimed at error rate control. Our approach demonstrates the capability for achieving finite-sample and asymptotic FDR control under mild theoretical conditions. Numerical experiments confirm that our procedure has satisfactory FDR control and higher power compared with existing methods.

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Yixin Han, Xu Guo, Changliang Zou. 2022-10-22. Model-free controlled variable selection via data splitting. https://arxiv.org/abs/2210.12382

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