MSEver: Caculate the MSE values of the COR criterion for redundant...

In COR: The COR for Optimal Subset Selection in Distributed Estimation

Caculate the MSE values of the COR criterion for redundant data in simulation

Description

Caculate the MSE values of the COR criterion for redundant data in simulation

Usage

MSEver(K = K, nk = nk, alpha = alpha, X = X, y = y)

Arguments

K	is the number of subsets
nk	is the length of subsets
alpha	is the significance level
X	is the observation matrix
y	is the response vector

Value

A list containing:

minE	The minimum value of the error variance estimator.
Mcor	The MSE of the COR estimator.
Mx	The MSE of the estimator based on the subset with the maximum M.
MA	The MSE of the estimator based on the subset with the minimum W.

References

Guo, G., Song, H. & Zhu, L. The COR criterion for optimal subset selection in distributed estimation. Statistics and Computing, 34, 163 (2024). \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/s11222-024-10471-z")}

Examples

p=6;n=1000;K=2;nk=200;alpha=0.05;sigma=1
e=rnorm(n,0,sigma); beta=c(sort(c(runif(p,0,1))));
data=c(rnorm(n*p,5,10));X=matrix(data, ncol=p);
y=X%*%beta+e;
MSEver(K=K,nk=nk,alpha=alpha,X=X,y=y)

COR documentation built on April 4, 2025, 5:13 a.m.