Description Usage Arguments Details Value Author(s) References See Also Examples
Selects the largest coefficients according to the AIC or BIC criterion.
1 | denoise(LP, n, method)
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LP |
Original vector of coefficients estimates. See details. |
n |
The dimension of the sample on which the estimates in |
method |
Either “AIC” or “BIC”. See details. |
Give a vector of M
coefficient estimates, the largest is selected according to the AIC or BIC criterion as described in Algeri, 2019 and Mukhopadhyay, 2017.
Selected coefficient estimates.
Sara Algeri
S. Algeri, 2019. Detecting new signals under background mismodelling. <arXiv:1906.06615>.
S. Mukhopadhyay, 2017. Large-scale mode identification and data-driven sciences. Electronic Journal of Statistics 11 (2017), no. 1, 215–240.
Legj
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 | #generating data
x<-rnorm(1000,10,7)
xx<-x[x>=10 & x<=20]
#create suitable postulated quantile function
G<-pnorm(20,5,15)-pnorm(10,5,15)
g<-function(x){dnorm(x,5,15)/G}
#Vectorize quantile function
g<-Vectorize(g)
u<-g(xx)
Mmax=20
S<- as.matrix(Legj(u=u,m=Mmax))
n<-length(u)
LP <- apply(S,FUN="mean",2)
denoise(LP,n=n,method="AIC")
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