vineknockoffs: Vine copula based knockoffs#

Unit tests codecov Python version

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

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.

@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.