A Powerful and Precise Feature-level Filter using Group Knockoffs

Abstract: Selecting important features that have substantial effects on the response with provable type-I error rate control is a fundamental concern in statistics, with wide-ranging practical applications. Existing knockoff filters, although shown to provide theoretical guarantee on false discovery rate (FDR) control, often struggle to strike a balance between high power and precision in pinpointing important features when there exist large groups of strongly correlated features. To address this challenge, we develop a new filter using group knockoffs to achieve both powerful and precise selection of important features. Via experiments of simulated data and analysis of a real Alzheimer's disease genetic dataset, it is found that the proposed filter can not only control the proportion of false discoveries but also identify important features with comparable power and greater precision than the existing group knockoffs filter.