By John Hallman - April 6, 2021
This week we discuss Model-X Knockoffs by Emmanuel Candes and company, an extension of their previous paper Fixed-X Knockoffs which we covered a few months back.
Why Model-X Knockoff filters?
(1) Knockoff generation — for MX Knockoffs to work, the knockoff variables must be generated such that the exchangeability property and independence holds w.r.t the original and the knockoff variables:
Where the refers to switching columns between the original and the knockoff variables for each index . Note that the paper says little about how to generate that satisfies the above, which is easier said than done.
(2) Feature scoring — for MX Knockoffs to work, the feature scoring procedures