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arXiv · 2502.02148

Can linear algebra create perfect knockoffs?

Christopher Hemmens·Stephan Robert-Nicoud
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Abstract

As new Model-X knockoff construction techniques are developed, primarily concerned with determining the correct conditional distribution from which to sample, we focus less on deriving the correct multivariate distribution and instead ask if ``perfect'' knockoffs can be constructed using linear algebra. Using mean absolute correlation between knockoffs and features as a measure of quality, we do produce knockoffs that are pseudo-perfect, however, the optimization algorithm is computationally very expensive. We outline a series of methods to significantly reduce the computation time of the algorithm.

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Christopher Hemmens, Stephan Robert-Nicoud. 2025-02-04. Can linear algebra create perfect knockoffs?. https://doi.org/10.1007/978-3-031-74491-4_81

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