Create knockoff variables

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Description

Creates knockoff variables for the original variables.

Usage

1
knockoff.create(X, method = c("equicorrelated", "sdp"), randomize = F)

Arguments

X

normalized n-by-p design matrix (n >= 2p)

method

either 'equicorrelated' or 'sdp'

randomize

whether the knockoffs are deterministic or randomized

Details

To use SDP knockoffs, you must have a Python installation with CVXPY. For more information, see the vignette on SDP knockoffs:

vignette('sdp', package='knockoff')

Value

The n-by-p knockoff matrix