statsmodels.stats.knockoff_regeffects.ForwardEffects

class statsmodels.stats.knockoff_regeffects.ForwardEffects(pursuit)

Forward selection effect sizes for FDR control.

Parameters

parentRegressionFDR

The RegressionFDR instance to which this effect size is applied.

pursuitbool

If True, ‘basis pursuit’ is used, which amounts to performing a full regression at each selection step to adjust the working residual vector. If False (the default), the residual is adjusted by regressing out each selected variable marginally. Setting pursuit=True will be considerably slower, but may give better results when exog is not orthogonal.

Notes

This class implements the forward selection approach to constructing test statistics for a knockoff analysis, as described under (5) in section 2.2 of the Barber and Candes paper.

Methods

stats(parent)