The function selects a threshold for sample correlation matrix.

1 |

`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. |

`thr` |
selected threshold. |

`thr.seq` |
when max.num>1, the sequence of thresholds selected at each iteration. |

Haeran Cho

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

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