vineknockoffs: Vine copula based knockoffs

This repo contains an implementation of vine copula knockoffs for high-dimensional controlled variable selection, see Kurz (2022) for details.

Introduction and API documentation

A brief introduction to vineknockoffs and an API documentation is provided at https://maltekurz.github.io/vineknockoffs/

Main features

The python package vineknockoffs can be used to estimate (for details see Kurz (2022))

• Gaussian knockoff models,
• Gaussian copula knockoffs models,
• Vine copula knockoff models.

Citation

If you use the vineknockoffs package a citation is highly appreciated:

Kurz, M. S. (2022). Vine copula based knockoff generation for high-dimensional controlled variable selection, arXiv:2210.11196.

Bibtex-entry:

@misc{Kurz2022vineknockoffs,
      title={Vine copula based knockoff generation for high-dimensional controlled variable selection}, 
      author={M. S. Kurz},
      year={2022},
      eprint={2210.11196},
      archivePrefix={arXiv},
      primaryClass={stat.ME},
      note={arXiv:\href{https://arxiv.org/abs/2210.11196}{2210.11196} [stat.ME]}
}

Acknowledgements

Funding by the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation) is acknowledged – Project Number 431701914.

References

Kurz, M. S. (2022). Vine copula based knockoff generation for high-dimensional controlled variable selection, arXiv:2210.11196.