biona001 / Knockoffs.jl

Variable Selection with Knockoffs
MIT License
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Efficient sampling of multiple knockoffs #54

Open biona001 opened 1 year ago

biona001 commented 1 year ago

There is a trick to sample m-knockoffs without forming a p(m+1) * p(m+1) covariance in memory. The trick was used in sample_mvn_efficient but not yet in condition. Need to do so asap.