Description Usage Arguments Details Value Examples

Computes the signed maximum statistic

*W_j = \max(Z_j, \tilde{Z}_j) \cdot \mathrm{sgn}(Z_j - \tilde{Z}_j),*

where *Z_j* and *\tilde{Z}_j* are the maximum values of
*λ* at which the jth variable and its knockoff, respectively,
enter the generalized linear model.

1 | ```
stat.glmnet_lambdasmax(X, X_k, y, family = "gaussian", ...)
``` |

`X` |
n-by-p matrix of original variables. |

`X_k` |
n-by-p matrix of knockoff variables. |

`y` |
vector of length n, containing the response variables. Quantitative for family="gaussian", or family="poisson" (non-negative counts). For family="binomial" should be either a factor with two levels, or a two-column matrix of counts or proportions (the second column is treated as the target class; for a factor, the last level in alphabetical order is the target class). For family="multinomial", can be a nc>=2 level factor, or a matrix with nc columns of counts or proportions. For either "binomial" or "multinomial", if y is presented as a vector, it will be coerced into a factor. For family="cox", y should be a two-column matrix with columns named 'time' and 'status'. The latter is a binary variable, with '1' indicating death, and '0' indicating right censored. The function Surv() in package survival produces such a matrix. For family="mgaussian", y is a matrix of quantitative responses. |

`family` |
response type (see above). |

`...` |
additional arguments specific to |

This function uses `glmnet`

to compute the regularization path
on a fine grid of *λ*'s.

The additional `nlambda`

parameter can be used to control the granularity of the grid of *λ* values.
The default value of `nlambda`

is `500`

.

If the family is 'binomial' and a lambda sequence is not provided by the user, this function generates it on a log-linear scale before calling 'glmnet'.

For a complete list of the available additional arguments, see `glmnet`

.

A vector of statistics *W* of length p.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 | ```
p=200; n=100; k=15
mu = rep(0,p); Sigma = diag(p)
X = matrix(rnorm(n*p),n)
nonzero = sample(p, k)
beta = 3.5 * (1:p %in% nonzero)
y = X %*% beta + rnorm(n)
knockoffs = function(X) create.gaussian(X, mu, Sigma)
# Basic usage with default arguments
result = knockoff.filter(X, y, knockoff=knockoffs,
statistic=stat.glmnet_lambdasmax)
print(result$selected)
# Advanced usage with custom arguments
foo = stat.glmnet_lambdasmax
k_stat = function(X, X_k, y) foo(X, X_k, y, nlambda=200)
result = knockoff.filter(X, y, knockoffs=knockoffs, statistic=k_stat)
print(result$selected)
``` |

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