select_var_fun: Compute set of selected variables

In TRexSelector: T-Rex Selector: High-Dimensional Variable Selection & FDR Control

Compute set of selected variables

Description

Computes the set of selected variables and returns the estimated support vector for the T-Rex selector (\Sexpr[results=rd]{tools:::Rd_expr_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.

TRexSelector documentation built on May 29, 2024, 2:57 a.m.