R/bastah.helpers.R

In bastah: Big Data Statistical Analysis for High-Dimensional Models

p.adjust.wy <- function(cov, pval, N = 10000)
{
  ## Purpose:
  ## multiple testing correction with a Westfall young-like procedure as
  ## in ridge projection method, http://arxiv.org/abs/1202.1377 P.Buehlmann
  ## ----------------------------------------------------------------------
  ## Arguments:
  ## cov: covariance matrix of your estimator
  ## pval: the single testing pvalues
  ## N: the number of samples to take for the empirical distribution
  ##    which is used to correct the pvalues
  ## ----------------------------------------------------------------------
  ## Author: Ruben Dezeure, Date: 6 Feb 2014, 14:27

  ## Simulate distribution
  zz  <- mvrnorm(N, rep(0, ncol(cov)), cov)
  zz2 <- scale(zz, center = FALSE, scale = sqrt(diag(cov)))
  Gz  <- apply(2 * pnorm(abs(zz2),lower.tail = FALSE), 1, min)

  ## Corrected p-values  pcorr
  ecdf(Gz)(pval)
}