Description Usage Arguments Value References Examples
This function implements the support recovery procedure in Zhang and Cheng (2017).
1 | SR(X, Y)
|
X |
n times p design matrix. |
Y |
Response variable. |
The sets of active variables selected by the support recovery procedure and the scaled Lasso.
Zhang, X., and Cheng, G. (2017) Simultaneous Inference for High-dimensional Linear Models, Journal of the American Statistical Association, 112, 757-768.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ## The function is intended for large n and p.
## Use small p here for illustration purpose only.
n <- 100
p <- 10
s0 <- 7
set <- 1:s0
Sigma <- matrix(NA, p, p)
for (i in 1:p) Sigma[i,] <- 0.9^(abs(i-(1:p)))
X <- matrix(rnorm(n*p), n, p)
X <- t(t(chol(Sigma))%*%t(X))
beta <- rep(0,p)
beta[1:s0] <- runif(s0,1,2)
Y <- X%*%beta+rt(n,4)/sqrt(2)
SR(X, Y)
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