create_permutations: Create permuted variables

In svteichman/prelim.knockoffs: Implements the knockoff method by Barber & Candes

Description

Creates a permuted version of the fixed design matrix.

Usage

create_permutations(X, y)

Arguments

X	n-by-p design matrix, with n > p.
y	response vector of length n. This is used in the setting in which n < 2p, to estimate sigma hat and generate additional rows in X and y.

Details

This creates p permuted variables for a fixed design matrix of size n by p.

Value

A list containing:

X	n-by-p design matrix, rescaled so that ||X_j||^2_2 = 1, and augmented if n < 2p.
X_perm	n-by-p matrix of permuted variables.
y	vector of observed responses (augmented if n < 2p).

Source

Barber and Candes, Controlling the false discovery rate via knockoffs. Ann. Statist. 43 (2015), no. 5, 2055–2085. https://projecteuclid.org/euclid.aos/1438606853

svteichman/prelim.knockoffs documentation built on May 28, 2020, 5:14 p.m.