Controls the false discovery rate (FDR) given knockoff W-statistics.

This method was introduced by Candes et al. (2018)

Usage

selections_control_FDR(W, level)

Arguments

W

a vector of knockoff W-statistics (feature statistics).

level

The nominal level at which to control the FDR.

Value

the selected variables

Details

E. Candes, Y. Fan, L. Janson, & J. Lv, (2018). Panning for gold:‘model‐X’knockoffs for high dimensional controlled variable selection. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 80(3), 551-577.

Examples

W <- rnorm(100)
selections_control_FDR(W, level=0.5)
#> integer(0)