Chi Chien-Ming, Fan Yingying, Ing Ching-Kang, Lv Jinchi
Institute of Statistical Science, Academia Sinica, Taiwan.
Data Sciences and Operations Department, Marshall School of Business, University of Southern California, Los Angeles, CA 90089.
J Am Stat Assoc. 2025 Feb 27. doi: 10.1080/01621459.2024.2431344.
We make some initial attempt to establish the theoretical and methodological foundation for the model-X knockoffs inference for time series data. We suggest the method of time series knockoffs inference (TSKI) by exploiting the ideas of subsampling and e-values to address the difficulty caused by the serial dependence. We also generalize the robust knockoffs inference in [4] to the time series setting to relax the assumption of known covariate distribution required by model-X knockoffs, since such an assumption is overly stringent for time series data. We establish sufficient conditions under which TSKI achieves the asymptotic false discovery rate (FDR) control. Our technical analysis reveals the effects of serial dependence and unknown covariate distribution on the FDR control. We conduct a power analysis of TSKI using the Lasso coefficient difference knockoff statistic under the generalized linear time series models. The finite-sample performance of TSKI is illustrated with several simulation examples and an economic inflation study.
我们初步尝试为时间序列数据的X模型仿冒品推断建立理论和方法基础。我们通过利用子采样和e值的思想,提出了时间序列仿冒品推断方法(TSKI),以解决序列相关性带来的困难。我们还将[4]中的稳健仿冒品推断推广到时间序列设置,以放宽X模型仿冒品所需的已知协变量分布假设,因为这样的假设对时间序列数据来说过于严格。我们建立了TSKI实现渐近错误发现率(FDR)控制的充分条件。我们的技术分析揭示了序列相关性和未知协变量分布对FDR控制的影响。我们在广义线性时间序列模型下,使用套索系数差异仿冒统计量对TSKI进行了功效分析。通过几个模拟示例和一项经济通胀研究说明了TSKI的有限样本性能。