When Knockoffs fail: diagnosing and fixing non-exchangeability of Knockoffs

Knockoffs are a popular statistical framework that addresses the challenging problem of conditional variable selection in high-dimensional settings with statistical control. Such statistical control is essential for the reliability of inference. However, knockoff guarantees rely on an exchangeability assumption that is difficult to test in practice, and there is little discussion in the literature on how to deal with unfulfilled hypotheses. This assumption is related to the ability to generate data similar to the observed data. To maintain reliable inference, we introduce a diagnostic tool based on Classifier Two-Sample Tests. Using simulations and real data, we show that violations of this assumption occur in common settings for classical Knockoffs generators, especially when the data have a strong dependence structure. We show that the diagnostic tool correctly detects such behavior. To fix knockoff generation, we propose a nonparametric, computationally-efficient alternative knockoff construction, which is based on constructing a predictor of each variable based on all others. We show that this approach achieves asymptotic exchangeability with the original variables under standard assumptions on the predictive model. We show empirically that the proposed approach restores error control on simulated data.