Knockoffs for variable selection
Project description
Knockadapt
To run tests
- To run all tests, run
python3 -m pytest
- To run a specific label, run
pytest -v -m {label}
. - To select all labels except a particular one, run
pytest -v -m "not {label}"
(with the quotes). - To run a specific file, try pytest test/{file_name}.py. To run a specific test within the file, run pytest test/{file_name}.py::classname::test_method. You also don't have to specify the exact test_method, you get the idea.
- To run a test with profiling, try
python3 -m pytest {path} --profile
. This should generate a set of .prof files in prof/. Then you can run snakeviz filename.prof to visualize the output. There are also more flags/options for outputs in the command line command. - Alternatively, cprofilev is much better.
To run cprofilev, copy and paste the test to proftest/* and then run
python3 -m cprofilev proftest/test_name.py
.
To do
- Graphs --> ren to dgp, class based
Knockoff Generation
- Gaussian knockoff generator should be class based
- There should be an overarching "sample knockoffs" function where you can put the type of knockoffs you want to sample in as an input argument.
- It would be cool if we moved the KS test code and used it as a method to validate the knockoffs.
FX Knockoff Support
- Knockoff Filter + Debiased Lasso
- Need to think about whether we'll actually shift X
Knockoff Construction
- Add hierarchical clustering to ASDP group-making
MCV Computation
- Gradient-based method can be sped up
- Add value for rec_prop
Graphs
- DGP class? instead of returning like 6 things?
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