Projection correlation can drive model-free feature screening with sure screening and rank consistency, and a two-step knockoff procedure controls FDR when the target level is at least one over the number of active features.
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Model-free Feature Screening and FDR Control with Knockoff Features
Projection correlation can drive model-free feature screening with sure screening and rank consistency, and a two-step knockoff procedure controls FDR when the target level is at least one over the number of active features.