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} </style> <!-- setup 3col/9col grid for toc_float and main content --> <div class="row-fluid"> <div class="col-xs-12 col-sm-4 col-md-3"> <div id="TOC" class="tocify"> </div> </div> <div class="toc-content col-xs-12 col-sm-8 col-md-9"> <div class="navbar navbar-default navbar-fixed-top" role="navigation"> <div class="container"> <div class="navbar-header"> <button type="button" class="navbar-toggle collapsed" data-toggle="collapse" data-target="#navbar"> <span class="icon-bar"></span> <span class="icon-bar"></span> <span class="icon-bar"></span> </button> <a class="navbar-brand" href="index.html">truncash</a> </div> <div id="navbar" class="navbar-collapse collapse"> <ul class="nav navbar-nav"> <li> <a href="index.html">Home</a> </li> <li> <a href="about.html">About</a> </li> <li> <a href="license.html">License</a> </li> </ul> <ul class="nav navbar-nav navbar-right"> <li> <a href="https://github.com/LSun/truncash"> <span class="fa fa-github"></span> </a> </li> </ul> </div><!--/.nav-collapse --> </div><!--/.container --> </div><!--/.navbar --> <div class="fluid-row" id="header"> <h1 class="title toc-ignore"><code>Knockoff</code> on Small Signals</h1> <h4 class="author"><em>Lei Sun</em></h4> <h4 class="date"><em>2018-02-05</em></h4> </div> <!-- The file analysis/chunks.R contains chunks that define default settings shared across the workflowr files. --> <!-- Update knitr chunk options --> <!-- Insert the date the file was last updated --> <p><strong>Last updated:</strong> 2018-02-15</p> <!-- Insert the code version (Git commit SHA1) if Git repository exists and R package git2r is installed --> <p><strong>Code version:</strong> c586cb3</p> <!-- Add your analysis here --> <section id="introduction" class="level2"> <h2>Introduction</h2> <p>In the <code>Knockoff</code> paper simulations, <span class="math inline">\(\beta\)</span>’s are either <span class="math inline">\(0\)</span> or <span class="math inline">\(A\)</span>. Here we are replicating the results, and investigating how well <code>Knockoff</code> deal with small signals.</p> <p>In the following simulations, we always have <span class="math inline">\(n = 3000\)</span>, <span class="math inline">\(p = 1000\)</span>, For a certain <span class="math inline">\(\beta\)</span>, <span class="math inline">\(Y_n \sim N(X_{n\times p}\beta_p, I_n)\)</span>. Out of <span class="math inline">\(p = 1000\)</span> <span class="math inline">\(\beta_j\)</span>’s, here are three scenarios.</p> <ul> <li>Scenario 1: <span class="math inline">\(950\)</span> are 0, and the rest <span class="math inline">\(50\)</span> are <span class="math inline">\(A = 3.5\)</span>. (replicating a data point on Fig 3 of the <code>Knockoff</code> paper)</li> <li>Scenario 2: <span class="math inline">\(850\)</span> are 0, <span class="math inline">\(50\)</span> are <span class="math inline">\(A = 3.5\)</span> as large signals, and the rest <span class="math inline">\(100\)</span> are small signals uniformly from <span class="math inline">\(0\)</span> to <span class="math inline">\(3.5\)</span>.</li> <li>Scenario 3: <span class="math inline">\(750\)</span> are 0, <span class="math inline">\(50\)</span> are <span class="math inline">\(A = 3.5\)</span> as large signals, and the rest <span class="math inline">\(200\)</span> are small signals uniformly from <span class="math inline">\(0\)</span> to <span class="math inline">\(3.5\)</span>.</li> </ul> <pre class="r"><code>n <- 3000 p <- 1000 k <- 50 q <- 0.1 A <- 3.5</code></pre> <section id="scenario-1-50-large-signals-no-small-signals-950-zeroes." class="level3"> <h3>Scenario 1: 50 large signals, no small signals, 950 zeroes.</h3> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- svd(X)$u Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-5-1.png" width="672" style="display: block; margin: auto;" /></p> </section> <section id="scenario-2-50-large-signals-100-small-signals-850-zeroes." class="level3"> <h3>Scenario 2: 50 large signals, 100 small signals, 850 zeroes.</h3> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- svd(X)$u Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-10-1.png" width="672" style="display: block; margin: auto;" /></p> </section> <section id="scenario-3-50-large-signals-200-small-signals-750-zeroes." class="level3"> <h3>Scenario 3: 50 large signals, 200 small signals, 750 zeroes.</h3> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- svd(X)$u Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-15-1.png" width="672" style="display: block; margin: auto;" /></p> </section> </section> <section id="orthogonal-design" class="level2"> <h2>Orthogonal design</h2> <p><span class="math inline">\(X\)</span> has random orthonormal columns</p> <table> <thead> <tr class="header"> <th style="text-align: right;">FDP.BH</th> <th style="text-align: right;">FDP.Knockoff</th> <th style="text-align: right;">FDP.Knockoff.Plus</th> <th style="text-align: right;">Power.BH</th> <th style="text-align: right;">Power.Knockoff</th> <th style="text-align: right;">Power.Knockoff.Plus</th> <th style="text-align: right;">Power.Large.BH</th> <th style="text-align: right;">Power.Large.Knockoff</th> <th style="text-align: right;">Power.Large.Knockoff.Plus</th> <th style="text-align: right;">Power.Small.BH</th> <th style="text-align: right;">Power.Small.Knockoff</th> <th style="text-align: right;">Power.Small.Knockoff.Plus</th> </tr> </thead> <tbody> <tr class="odd"> <td style="text-align: right;">0.0979</td> <td style="text-align: right;">0.1082</td> <td style="text-align: right;">0.0863</td> <td style="text-align: right;">0.7339</td> <td style="text-align: right;">0.7329</td> <td style="text-align: right;">0.6939</td> <td style="text-align: right;">0.7339</td> <td style="text-align: right;">0.7329</td> <td style="text-align: right;">0.6939</td> <td style="text-align: right;">NA</td> <td style="text-align: right;">NA</td> <td style="text-align: right;">NA</td> </tr> <tr class="even"> <td style="text-align: right;">0.0847</td> <td style="text-align: right;">0.0921</td> <td style="text-align: right;">0.0795</td> <td style="text-align: right;">0.3836</td> <td style="text-align: right;">0.3867</td> <td style="text-align: right;">0.3691</td> <td style="text-align: right;">0.7791</td> <td style="text-align: right;">0.7799</td> <td style="text-align: right;">0.7555</td> <td style="text-align: right;">0.1858</td> <td style="text-align: right;">0.1901</td> <td style="text-align: right;">0.176</td> </tr> <tr class="odd"> <td style="text-align: right;">0.0756</td> <td style="text-align: right;">0.0817</td> <td style="text-align: right;">0.0727</td> <td style="text-align: right;">0.3294</td> <td style="text-align: right;">0.3340</td> <td style="text-align: right;">0.3195</td> <td style="text-align: right;">0.8116</td> <td style="text-align: right;">0.8122</td> <td style="text-align: right;">0.7932</td> <td style="text-align: right;">0.2088</td> <td style="text-align: right;">0.2145</td> <td style="text-align: right;">0.201</td> </tr> </tbody> </table> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-19-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-20-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-21-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-22-1.png" width="672" style="display: block; margin: auto;" /></p> </section> <section id="independent-design" class="level2"> <h2>Independent design</h2> <p><span class="math inline">\(X_{n \times p}\)</span> has independent columns simulated from <span class="math inline">\(N(0, 1)\)</span> and then normalized to have <span class="math inline">\(\|X_j\|_2^2 \equiv 1\)</span>.</p> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- t(t(X) / sqrt(colSums(X^2))) Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- t(t(X) / sqrt(colSums(X^2))) Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- t(t(X) / sqrt(colSums(X^2))) Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <table> <thead> <tr class="header"> <th style="text-align: right;">FDP.BH</th> <th style="text-align: right;">FDP.Knockoff</th> <th style="text-align: right;">FDP.Knockoff.Plus</th> <th style="text-align: right;">Power.BH</th> <th style="text-align: right;">Power.Knockoff</th> <th style="text-align: right;">Power.Knockoff.Plus</th> <th style="text-align: right;">Power.Large.BH</th> <th style="text-align: right;">Power.Large.Knockoff</th> <th style="text-align: right;">Power.Large.Knockoff.Plus</th> <th style="text-align: right;">Power.Small.BH</th> <th style="text-align: right;">Power.Small.Knockoff</th> <th style="text-align: right;">Power.Small.Knockoff.Plus</th> </tr> </thead> <tbody> <tr class="odd"> <td style="text-align: right;">0.0950</td> <td style="text-align: right;">0.0713</td> <td style="text-align: right;">0.0483</td> <td style="text-align: right;">0.4344</td> <td style="text-align: right;">0.5399</td> <td style="text-align: right;">0.4135</td> <td style="text-align: right;">0.4344</td> <td style="text-align: right;">0.5399</td> <td style="text-align: right;">0.4135</td> <td style="text-align: right;">NA</td> <td style="text-align: right;">NA</td> <td style="text-align: right;">NA</td> </tr> <tr class="even"> <td style="text-align: right;">0.0828</td> <td style="text-align: right;">0.0587</td> <td style="text-align: right;">0.0397</td> <td style="text-align: right;">0.2180</td> <td style="text-align: right;">0.2106</td> <td style="text-align: right;">0.1584</td> <td style="text-align: right;">0.4789</td> <td style="text-align: right;">0.4820</td> <td style="text-align: right;">0.3699</td> <td style="text-align: right;">0.0876</td> <td style="text-align: right;">0.0749</td> <td style="text-align: right;">0.0527</td> </tr> <tr class="odd"> <td style="text-align: right;">0.0747</td> <td style="text-align: right;">0.0456</td> <td style="text-align: right;">0.0325</td> <td style="text-align: right;">0.1838</td> <td style="text-align: right;">0.1613</td> <td style="text-align: right;">0.1243</td> <td style="text-align: right;">0.5135</td> <td style="text-align: right;">0.4372</td> <td style="text-align: right;">0.3432</td> <td style="text-align: right;">0.1013</td> <td style="text-align: right;">0.0923</td> <td style="text-align: right;">0.0696</td> </tr> </tbody> </table> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-36-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-37-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-38-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-39-1.png" width="672" style="display: block; margin: auto;" /></p> </section> <section id="local-correlation-design" class="level2"> <h2>Local correlation design</h2> <p><span class="math inline">\(X_{n \times p}\)</span> has correlation <span class="math inline">\(\Sigma_{ij} = \rho^{|i - j|}\)</span>. Each row is independently <span class="math inline">\(N(0, \Sigma)\)</span> and then normalized to have <span class="math inline">\(\|X_j\|_2^2 \equiv 1\)</span>.</p> <pre class="r"><code>rho <- 0.25 Sigma <- toeplitz(rho^(0 : (p - 1))) X <- matrix(rnorm(n * p), n , p) X <- t(t(X) / sqrt(colSums(X^2))) X <- X %*% chol(Sigma) Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- t(t(X) / sqrt(colSums(X^2))) X <- X %*% chol(Sigma) Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <pre class="r"><code>X <- matrix(rnorm(n * p), n , p) X <- t(t(X) / sqrt(colSums(X^2))) X <- X %*% chol(Sigma) Xk <- knockoff::create.fixed(X) Xk <- Xk$Xk</code></pre> <table> <thead> <tr class="header"> <th style="text-align: right;">FDP.BH</th> <th style="text-align: right;">FDP.Knockoff</th> <th style="text-align: right;">FDP.Knockoff.Plus</th> <th style="text-align: right;">Power.BH</th> <th style="text-align: right;">Power.Knockoff</th> <th style="text-align: right;">Power.Knockoff.Plus</th> <th style="text-align: right;">Power.Large.BH</th> <th style="text-align: right;">Power.Large.Knockoff</th> <th style="text-align: right;">Power.Large.Knockoff.Plus</th> <th style="text-align: right;">Power.Small.BH</th> <th style="text-align: right;">Power.Small.Knockoff</th> <th style="text-align: right;">Power.Small.Knockoff.Plus</th> </tr> </thead> <tbody> <tr class="odd"> <td style="text-align: right;">0.0957</td> <td style="text-align: right;">0.0563</td> <td style="text-align: right;">0.0344</td> <td style="text-align: right;">0.3367</td> <td style="text-align: right;">0.4985</td> <td style="text-align: right;">0.3484</td> <td style="text-align: right;">0.3367</td> <td style="text-align: right;">0.4985</td> <td style="text-align: right;">0.3484</td> <td style="text-align: right;">NA</td> <td style="text-align: right;">NA</td> <td style="text-align: right;">NA</td> </tr> <tr class="even"> <td style="text-align: right;">0.0824</td> <td style="text-align: right;">0.0407</td> <td style="text-align: right;">0.0249</td> <td style="text-align: right;">0.1710</td> <td style="text-align: right;">0.1656</td> <td style="text-align: right;">0.1070</td> <td style="text-align: right;">0.3820</td> <td style="text-align: right;">0.3620</td> <td style="text-align: right;">0.2348</td> <td style="text-align: right;">0.0655</td> <td style="text-align: right;">0.0673</td> <td style="text-align: right;">0.0431</td> </tr> <tr class="odd"> <td style="text-align: right;">0.0738</td> <td style="text-align: right;">0.0258</td> <td style="text-align: right;">0.0170</td> <td style="text-align: right;">0.1441</td> <td style="text-align: right;">0.1393</td> <td style="text-align: right;">0.0988</td> <td style="text-align: right;">0.4137</td> <td style="text-align: right;">0.4040</td> <td style="text-align: right;">0.2893</td> <td style="text-align: right;">0.0767</td> <td style="text-align: right;">0.0731</td> <td style="text-align: right;">0.0511</td> </tr> </tbody> </table> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-53-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-54-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-55-1.png" width="672" style="display: block; margin: auto;" /></p> <p><img src="figure/knockoff_6.rmd/unnamed-chunk-56-1.png" width="672" style="display: block; margin: auto;" /></p> </section> <section id="session-information" class="level2"> <h2>Session information</h2> <!-- Insert the session information into the document --> <pre class="r"><code>sessionInfo()</code></pre> <pre><code>R version 3.4.3 (2017-11-30) Platform: x86_64-apple-darwin15.6.0 (64-bit) Running under: macOS High Sierra 10.13.3 Matrix products: default BLAS: /Library/Frameworks/R.framework/Versions/3.4/Resources/lib/libRblas.0.dylib LAPACK: /Library/Frameworks/R.framework/Versions/3.4/Resources/lib/libRlapack.dylib locale: [1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] knitr_1.19 ggplot2_2.2.1 knockoff_0.3.0 loaded via a namespace (and not attached): [1] Rcpp_0.12.14 magrittr_1.5 munsell_0.4.3 colorspace_1.3-2 [5] rlang_0.1.6 highr_0.6 stringr_1.2.0 plyr_1.8.4 [9] tools_3.4.3 grid_3.4.3 gtable_0.2.0 git2r_0.21.0 [13] htmltools_0.3.6 yaml_2.1.16 lazyeval_0.2.1 rprojroot_1.3-2 [17] digest_0.6.14 tibble_1.4.1 evaluate_0.10.1 rmarkdown_1.8 [21] labeling_0.3 stringi_1.1.6 compiler_3.4.3 pillar_1.0.1 [25] scales_0.5.0 backports_1.1.2 </code></pre> </section> <hr> <p> This <a href="http://rmarkdown.rstudio.com">R Markdown</a> site was created with <a href="https://github.com/jdblischak/workflowr">workflowr</a> </p> <hr> <!-- To enable disqus, uncomment the section below and provide your disqus_shortname --> <!-- disqus <div id="disqus_thread"></div> <script type="text/javascript"> /* * * CONFIGURATION VARIABLES: EDIT BEFORE PASTING INTO YOUR WEBPAGE * * */ var disqus_shortname = 'rmarkdown'; 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