statsmodels.stats.knockoff_regeffects.CorrelationEffects

class statsmodels.stats.knockoff_regeffects.CorrelationEffects

Marginal correlation effect sizes for FDR control.

Parameters

parentRegressionFDR

The RegressionFDR instance to which this effect size is applied.

Notes

This class implements the marginal correlation approach to constructing test statistics for a knockoff analysis, as desscribed under (1) in section 2.2 of the Barber and Candes paper.

Methods

stats