Threshold for the knockoff filter

Computes the threshold for the knockoff filter.

knockoff.threshold(W, fdr = 0.1, offset = 1)

Arguments

W

the test statistics

fdr

target false discovery rate (default: 0.1)

offset

either 0 or 1 (default: 1). The offset used to compute the rejection threshold on the statistics. The value 1 yields a slightly more conservative procedure ("knockoffs+") that controls the FDR according to the usual definition, while an offset of 0 controls a modified FDR.

Value

The threshold for variable selection.