W_support {SplitKnockoff}

W statistics generator for FDR control

Description

generate the split knockoff statistics W for a split LASSO path, only consider the support set estimation

Usage

W_support(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 Split 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

t_Z: knockoff significance