sk.create {SplitKnockoff}

generate split knockoff copies

Description

Give the variable splitting design matrix and response vector. It will also create a split knockoff copy if required.

Usage

sk.create(X, y, D, nu, option)

Arguments

X

the design matrix

y

the response vector

D

the linear transform

nu

the parameter for variable splitting

option

options for creating the Knockoff copy; option$copy true : create a knockoff copy; option$eta the choice of eta for creating the split knockoff copy

Value

A_beta: the design matrix for beta after variable splitting

A_gamma: the design matrix for gamma after variable splitting

tilde_y: the response vector after variable splitting.

tilde_A_gamma: the knockoff copy of A_beta; will be [] if option$copy = false.

Examples

option <- array(data = NA, dim = length(data), dimnames = NULL)
option$q <- 0.2
option$eta <- 0.1
option$method <- 'knockoff'
option$normalize <- 'true'
option$lambda <- 10.^seq(0, -6, by=-0.01)
option$nu <- 10
option$copy <- 'true'
option$sign <- 'enabled'
option <- option[-1]
library(mvtnorm)
sigma <-1
p <- 100
D <- diag(p)
m <- nrow(D)
n <- 350
nu = 10
c = 0.5
Sigma = matrix(0, p, p)
for( i in 1: p){
  for(j in 1: p){
    Sigma[i, j] <- c^(abs(i - j))
 }
}
X <- rmvnorm(n,matrix(0, p, 1), Sigma)
beta_true <- matrix(0, p, 1)
varepsilon <- rnorm(n) * sqrt(sigma)
y <- X %*% beta_true + varepsilon
creat.result  <- sk.create(X, y, D, nu, option)
A_beta  <- creat.result$A_beta
A_gamma <- creat.result$A_gamma
tilde_y <- creat.result$tilde_y
tilde_A_gamma <- creat.result$tilde_A_gamma