get_u_tild: Construct \widetilde{U}

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

Description

This function constructs \widetilde{U}, a nxp orthonormal matrix that is orthogonal to the column space of X, such that X^T\widetilde{U} = 0.

Usage

get_u_tild(X, randomize = FALSE)

Arguments

X	Design matrix to create knockoffs for.
randomize	If true, U tilde is a random matrix. If false, U tilde is the second half of the matrix Q, where Q is part of the QR decomposition of an nx2p matrix [U\ 0], where X = UDV^T. default is false.

Value

The orthonormal nxp matrix \widetilde{U}.

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