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Use squared Z-score for marginal feature importance statistic #56

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biona001 opened this issue May 23, 2023 · 0 comments
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Use squared Z-score for marginal feature importance statistic #56

biona001 opened this issue May 23, 2023 · 0 comments

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@biona001
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biona001 commented May 23, 2023 •
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#53 implemented fit_marginal which internally uses T[i] = |Zi| - |Zko[i]| as importance score for the ith feature. In Zihuai's ghostknockoff paper, he instead used T[i] = (Z[i])^2 - (Zko[i])^2 (see eq 15).

I should try this too to see if power is improved.
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