Aggregation of Multiple Knockoffs

Tuan-Binh Nguyen, Jérôme-Alexis Chevalier, Bertrand Thirion, Sylvain Arlot

Abstract: We develop an extension of the knockoff inference procedure, introduced by Barber & Candes (2015). This new method, called Aggregation of Multiple Knockoffs (AKO), addresses the instability inheren...