statsmodels.stats.knockoff_regeffects.CorrelationEffects¶

class statsmodels.stats.knockoff_regeffects.CorrelationEffects[source]¶

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 described under (1) in section 2.2 of the Barber and Candes paper.

Methods

stats(parent)