A stable variable selection procedure based on the knockoffs

Source: R/derandomKnock.R

The main function that implements the derandomized knockoffs procedure.

derandomKnock(
  X,
  y,
  type,
  M = NULL,
  eta = NULL,
  seed = 24601,
  v = 1,
  k = 1,
  alpha = 0.05,
  knockoff_method = "gaussian",
  knockoff_stat = stat.glmnet_coefdiff,
  mu = NULL,
  Sigma = NULL,
  diags = NULL,
  pInit = NULL,
  Q = NULL,
  pEmit = NULL,
  thres = 50,
  beta = 1
)

Arguments

X

a n-by-p matrix of the covariates.

y

the response vector of length in (can be continuous or binary).

type

the type of error to control. Options include "pfer" and "kfwer".

M

an integer specifying the number of knockoff copies computed (default: 30).

eta

a number betweem 0 and 1 indicating the selection frequency (default: 0.5).

seed

an integer specifying the random seed used in the procedure.

v

a positive numver indicating the PFER target (default: 1). Can be left NULL if using the kfwer error.

k

a positive integer corresponding to k-FWER.

alpha

a number between 0 and 1 indicating the target k-FWER level.

knockoff_method

either "gaussian" or "hmm" (default: "gaussian").

knockoff_stat

Knockoff statistics to used. See knockoff_stat(default: "stat.glmnet_diff")

mu

a length-p mean vector of X if it follows a Gaussian distribution.

Sigma

a p-by-p covariance matrix of X if it follows a Gaussian distribution.

diags

a length-p vector, containing the precomputed covariances between the original variables and the knockoffs.

pInit

n array of length K, containing the marginal distribution of the states for the first variable, if X is sampled from an HMM.

Q

an array of size (p-1,K,K), containing a list of p-1 transition matrices between the K states of the Markov chain, if X is sampled from an HMM.

pEmit

an array of size (p,M,K), containing the emission probabilities for each of the M possible emission states, from each of the K hidden states and the p variables, if X is sampled from an HMM.

Value

S the selection set. frequency the selection frequency of the selected variables.

Examples

 #Generate data
 n <- 100; p <- 50; s <- 10;
 rho <- 0.5;
 Sigma <- toeplitz(rho^(1:p-1))
 X <- matrix(rnorm(n*p),n,p)%*%chol(Sigma)
 beta <- rep(0,p)
 beta[1:s] <- 5/sqrt(n)
 y <- X%*%beta+rnorm(n)

# Control PFER at level v=1
res <- derandomKnock(X,y,type = "pfer",v=1, knockoff_method = "gaussian",
                   mu = rep(0,p),Sigma = Sigma)
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute

# Control 1-FWER at level alpha=0.1
res <- derandomKnock(X,y,type = "kfwer", k=1, alpha = 0.1, knockoff_method = "gaussian",
                   mu = rep(0,p),Sigma = Sigma)
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute
#> Warning: doParallel is not installed. Without parallelization, the statistics will be slower to compute