Sequential knockoffs for continuous and categorical variables

Usage

knockoffs_seq(X, seq_simulator = sim_glmnet, ...)

Arguments

X: data.frame (or tibble) with "numeric" and "factor" columns only. The number of columns, ncol(X) needs to be > 2.
seq_simulator: function that simulates sequential knockoffs. Default is the function sim_glmnet, which simulates response from an estimated elastic-net model
...: other parameters passed to the function seq_simulator. For the default (elastic-net sequential seq_simulator, seq_simulator = sim_glmnet) these other parameters are passed to cv.glmnet.

Value

sequential knockoff copy of X. A data.frame or tibble of same type and dimensions as X.

Details

knockoffs_seq performs sequential knockoff simulation using elastic-net regression.

Examples

library(knockofftools)

set.seed(1)

X <- generate_X(n=100, p=6, p_b=2, cov_type="cov_equi", rho=0.5)

# knockoffs based on sequential elastic-net regression:
Xk <- knockoffs_seq(X)