期刊
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
卷 118, 期 541, 页码 222-241出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/01621459.2021.1923510
关键词
False discovery rate; Genome-wide association study; High-dimensional linear regression; Post-selection inference
This article proposes a method called Gaussian Mirror (GM) that aims to find multiple influential variables by creating mirror variables and using test statistics effective for controlling the FDR. The GM method performs better than existing methods, especially in cases where the covariates are highly correlated and the influential variables are not too sparse.
Simultaneously, finding multiple influential variables and controlling the false discovery rate (FDR) for linear regression models is a fundamental problem. We here propose the Gaussian Mirror (GM) method, which creates for each predictor variable a pair of mirror variables by adding and subtracting a randomly generated Gaussian perturbation, and proceeds with a certain regression method, such as the ordinary least-square or the Lasso (the mirror variables can also be created after selection). The mirror variables naturally lead to test statistics effective for controlling the FDR. Under a mild assumption on the dependence among the covariates, we show that the FDR can be controlled at any designated level asymptotically. We also demonstrate through extensive numerical studies that the GM method is more powerful than many existing methods for selecting relevant variables subject to FDR control, especially for cases when the covariates are highly correlated and the influential variables are not overly sparse.
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