Adjusting the Benjamini–Hochberg method for controlling the false discovery rate in knockoff-assisted variable selection
调整Benjamini–Hochberg方法以控制knockoff变量选择的错误发现率
Summary We consider the knockoff-based multiple testing set-up of Barber & Candès (2015). for variable selection in multiple regression. The method of Benjamini & Hochberg (1995) and an adaptive version of it are adjusted to this set-up, transforming them to valid $p$-value-based, false discovery rate-controlling methods that do not rely on specifying the correlation structure of the explanatory variables. Simulations and real data applications show that the proposed methods…