quantilemht: Calculation of the quantiles for the mht procedure

In mht: Multiple Hypothesis Testing for Variable Selection in High-Dimensional Linear Models

Description

Calculation of the quantiles for the mht procedure

Usage

quantilemht(data,k,alpha,IT,maxq,sigma)

Arguments

data	Input matrix of dimension n*p; each row is an observation vector.
k	Positive integer.
alpha	A user supplied type I error sequence. Default is (0.1,0.05).
IT	Number of simulations in the calculation of the quantile. Default is 1000.
maxq	Number of maximum multiple hypotheses testing to do. Default is log(min(n,p)-1,2).
sigma	Value of the variance if it is known; 0 otherwise. Default is 0.

Details

Calculation of the quantile of the statistic that tests the null hypothesis Hk:"E(Y)=X_1β_1+X_2β_2+…+X_kβ_k", i.e there is no more signal remaining in the variables (k+1,...,p).

Value

quantile	The estimated quantiles.
nbrprob	Number of times there was not enough simulation to estimate the alpha-quantile.

mht documentation built on May 2, 2019, 11:49 a.m.