A Conditional Randomization Test for Sparse Logistic Regression in High-Dimension

Identifying the relevant variables for a classification model with correct confidence levels is a central but difficult task in high-dimension. Despite the core role of sparse logistic regression in statistics and machine learning, it still lacks a good solution for accurate inference in the regime where the number of features p is as large as or larger than the number of samples n. Here we tackle this problem by improving the Conditional Randomization Test (CRT). The original CRT algorithm shows promise as a way to output p-values while making few assumptions on the distribution of the test statistics. As it comes with a prohibitive computational cost even in mildly high-dimensional problems, faster solutions based on distillation have been proposed. Yet, they rely on unrealistic hypotheses and result in low-power solutions.