Lambda sequences for SLOPE

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Description

Computes λ sequences for SLOPE according to several pre-defined methods.

Usage

1
create_lambda(n, p, fdr = 0.2, method = c("bhq", "gaussian"))

Arguments

n

number of observations

p

number of variables

fdr

target False Discovery Rate (FDR)

method

method to use for computing λ (see Details)

Details

The following methods for computing λ are supported:

  • bhq: Computes sequence inspired by Benjamini-Hochberg (BHq) procedure

  • gaussian: Computes modified BHq sequence inspired by Gaussian designs