Posted By: zbxnzs1990 - Aug 8, 2019
Tool/Resource: FDRcorrectedSCCA
Here we propose a way of applying the FDR concept to sparse CCA, and a method to control the FDR. The proposed FDR correction directly influences the sparsity of the solution, adapting it to the unknown true sparsity level. Theoretical derivation as well as simulation studies show that our procedure indeed keeps the FDR of the canonical vectors below a user-specified target level.
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