{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/doubly-robust-and-computationally-efficient","title":"Doubly robust and computationally efficient high-dimensional variable selection","arxiv_id":"2409.09512","date":"2024-09-14","proceeding":null,"authors":["Abhinav Chakraborty","Jeffrey Zhang","Eugene Katsevich"],"abstract":"Variable selection can be performed by testing conditional independence (CI) between each predictor and the response, given the other predictors. A doubly robust and powerful option for these CI tests is the projected covariance measure (PCM) test. However, directly deploying PCM for variable selection brings computational challenges: testing a single variable involves a few machine learning fits, so testing $p$ variables requires $O(p)$ fits. Inspired by model-X ideas, we observe that an estimate of the joint predictor distribution and a single response-on-all-predictors fit can be used to reconstruct all PCM fits. This yields tower PCM (tPCM), a computationally efficient extension of PCM to variable selection. When the joint predictor distribution is sufficiently tractable, as in applications like genome-wide association studies, tPCM offers a substantial speedup over PCM -- up to 130$\\times$ in our simulations -- while matching its power. tPCM also improves on model-X methods like knockoffs and holdout randomization test (HRT) by returning per-variable $p$-values and improving speed, respectively. We prove that tPCM is doubly robust and asymptotically equivalent to both PCM and HRT. We thus extend the bridge between model-X and doubly robust approaches, demonstrating their independent arrival at equivalent methods and showing that this intersection is a fruitful source of new methodologies like tPCM.","url_abs":"https://arxiv.org/abs/2409.09512v1","url_pdf":"https://arxiv.org/pdf/2409.09512v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"doubly-robust-and-computationally-efficient","repo_url":"https://github.com/Katsevich-Lab/symcrt2-manuscript","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}