Model-Free Machine Learning and Inference in High-Dimensional Binary Classification via Repro Samples

Abstract

This paper develops a model-free yet interpretable machine learning and inference approach for binary classification of high-dimensional data from an unstructured model by leveraging a class of (likely misspecified) working sparse generalized linear models (GLMs). Our method builds on the repro samples framework, which utilizes artificial samples that mimic the true data and noise for inference. Our inference targets both the model support and regression coefficients of the oracle model, defined as the working GLM closest to the unknown true model. The development offers several advantages: (1) it is model-free, requiring neither specific model assumptions, nor sparsity of the true model; (2) for model support, it constructs a model candidate set for the most influential covariates with guaranteed coverage under a weak signal condition; (3) for oracle coefficients, it provides confidence sets for any linear transformations of the coefficients. When the oracle model coincides with the true model, the inference results apply to the true model, allowing simultaneous quantification of uncertainty in (discrete) model selection and (continuous) parameter estimation. It provides an interpretable machine learning approach otherwise not possible when using a black-box model. Simulations and an application to RNA-seq immune response data are used to illustrate the method's performance.

arXiv commentarXiv admin note: substantial text overlap with arXiv:2403.09984