Select a threshold for sample correlation matrix

Description

The function selects a threshold for sample correlation matrix.

Usage

1
get.thr(C, n, p, max.num = 1, alpha = NULL, step = NULL)

Arguments

C

sample correlation matrix of a design matrix.

n

the number of observations of the design matrix.

p

the number of variables of the design matrix.

max.num

the number of times for which the threshold selection procedure is repeated. Usually max.num==1 is used.

alpha

The level at which the false discovery rate is controlled. When alpha==NULL, it is set to be 1/sqrt(p).

step

the size of a step taken when screening the p(p-1)/2 off-diagonal elements of C.

Value

thr

selected threshold.

thr.seq

when max.num>1, the sequence of thresholds selected at each iteration.

Author(s)

Haeran Cho

References

H. Cho and P. Fryzlewicz (2012) High-dimensional variable selection via tilting, Journal of the Royal Statistical Society Series B, 74: 593-622.