Group SLOPE is a penalized linear regression method that is used for adaptive selection of groups of significant predictors in a high-dimensional linear model. A unique feature of the Group SLOPE method is that it offers (group) false discovery rate control (i.e., control of the expected proportion of irrelevant groups among the total number of groups of predictors selected by Group SLOPE). A detailed description of the method can be found in D. Brzyski, A. Gossmann, W. Su, and M. Bogdan (2019) “Group SLOPE — adaptive selection of groups of predictors”, Journal of the American Statistical Association (or the 2016 arXiv preprint).

The basic model fitting procedure for a Group SLOPE model is:

where `X`

is the model matrix, `y`

the response vector, `group`

a vector specifying group memberships of the predictor variables, and `fdr`

the target (group) false discovery rate for the variable selection procedure.

One can access various estimated parameters of the fitted model, such as the selected groups, the estimated noise level, or the estimated vector of regression coefficients:

```
# groups that have a non-zero effect
result$selected
# noise level
sigma(result)
# coefficient vector
coef(result)
```

A detailed basic usage example can be found here.

More complicated (and possibly less helpful) example codes are available in the repository grpSLOPE_examples.

The latest stable version of `grpSLOPE`

can be installed from CRAN (The Comprehensive R Archive Network). Just open an R session and do:

Your R configuration must allow for a working Rcpp.

The easiest way to install the latest development version of `grpSLOPE`

is by using the R package `devtools`

. Just open up an R session and run:

```
# Install devtools, if you haven't already.
install.packages("devtools")
library(devtools)
install_github("agisga/grpSLOPE")
```

If you don’t want to use `devtools`

, you can install `grpSLOPE`

by downloading the source code and then following these steps:

- Install the R package
`Rcpp`

. - Go to the directory that contains the
`grpSLOPE`

directory (which contains the`grpSLOPE`

source code). - Open an R session and run
`Rcpp::compileAttributes("./grpSLOPE")`

. Then quit R. - Run
`R CMD build grpSLOPE`

. You should then have a file like`grpSLOPE_0.2.1.9000.tar.gz`

. - Run
`R CMD INSTALL grpSLOPE_0.2.1.9000.tar.gz`

to install the package.

- Modify the code.
- Open
`grpSLOPE.Rproj`

with RStudio. - Run
`devtools::document()`

. - Do “Build and Reload” from the menu (or CTRL-Shift-B).
- Do
`devtools::test()`

to run the unit tests. - Install with
`devtools::install()`

- Run checks with
`devtools::check()`