W_sign {SplitKnockoff}

W statistics generator for directional FDR control

Description

generate the split knockoff statistics W for a split LASSO path, take the directional effect into account

Usage

W_sign(X, D, y, nu, option)

Arguments

X

the design matrix

D

the linear transform

y

the response vector

nu

the parameter for variable splitting

option

options for creating the Knockoff statistics option$eta specify the choice of eta for creating the knockoff copy; option$lambda specify the choice of lambda for the split LASSO path

Value

W: the knockoff statistics

Z: feature significance

r: the sign estimator

t_Z: knockoff significance