Derandomised knockoffs: leveraging e-values for false discovery rate control

Abstract Model-X knockoffs is a flexible wrapper method for high-dimensional regression algorithms, which provides guaranteed control of the false discovery rate (FDR). Due to the randomness inherent to the method, different runs of model-X knockoffs on the same dataset often result in different sets of selected variables, which is undesirable in practice. In this article, we introduce a methodology for derandomising model-X knockoffs with provable FDR control. The key insight of our proposed method lies in the discovery that the knockoffs procedure is in essence an e-BH procedure. We make use of this connection and derandomise model-X knockoffs by aggregating the e-values resulting from multiple knockoff realisations. We prove that the derandomised procedure controls the FDR at the desired level, without any additional conditions (in contrast, previously proposed methods for derandomisation are not able to guarantee FDR control). The proposed method is evaluated with numerical experiments, where we find that the derandomised procedure achieves comparable power and dramatically decreased selection variability when compared with model-X knockoffs.