select_var_fun {TRexSelector}

Compute set of selected variables

Description

Computes the set of selected variables and returns the estimated support vector for the T-Rex selector (doi:10.48550/arXiv.2110.06048).

Usage

select_var_fun(p, tFDR, T_stop, FDP_hat_mat, Phi_mat, V)

Arguments

p

Number of candidate variables.

tFDR

Target FDR level (between 0 and 1, i.e., 0% and 100%).

T_stop

Number of included dummies after which the random experiments (i.e., forward selection processes) are stopped.

FDP_hat_mat

Matrix whose rows are the vectors of conservative FDP estimates for each value of the voting level grid.

Phi_mat

Matrix of relative occurrences as determined by the T-Rex calibration algorithm.

V

Voting level grid.

Value

Estimated support vector.