ridge.tune: Cross validation for the ridge regression

In Compositional: Compositional Data Analysis

Cross validation for the ridge regression

Description

Cross validation for the ridge regression is performed. There is an option for the GCV criterion which is automatic.

Usage

ridge.tune(y, x, nfolds = 10, lambda = seq(0, 2, by = 0.1), folds = NULL,
ncores = 1, seed = NULL, graph = FALSE)

Arguments

y	A numeric vector containing the values of the target variable. If the values are proportions or percentages, i.e. strictly within 0 and 1 they are mapped into R using the logit transformation.
x	A numeric matrix containing the variables.
nfolds	The number of folds in the cross validation.
lambda	A vector with the a grid of values of \lambda to be used.
folds	If you have the list with the folds supply it here. You can also leave it NULL and it will create folds.
ncores	The number of cores to use. If it is more than 1 parallel computing is performed.
seed	You can specify your own seed number here or leave it NULL.
graph	If graph is set to TRUE the performances for each fold as a function of the \lambda values will appear.

Details

A k-fold cross validation is performed. This function is used by alfaridge.tune.

Value

A list including:

msp	The performance of the ridge regression for every fold.
mspe	The values of the mean prediction error for each value of \lambda.
lambda	The value of \lambda which corresponds to the minimum MSPE.
performance	The minimum MSPE.
runtime	The time required by the cross-validation procedure.

Author(s)

Michail Tsagris.

R implementation and documentation: Giorgos Athineou <[e-mail]> and Michail Tsagris [e-mail].

References

Hoerl A.E. and R.W. Kennard (1970). Ridge regression: Biased estimation for nonorthogonal problems. Technometrics, 12(1):55-67.

Brown P. J. (1994). Measurement, Regression and Calibration. Oxford Science Publications.

See Also

ridge.reg, alfaridge.tune

Examples

y <- as.vector(iris[, 1])
x <- as.matrix(iris[, 2:4])
ridge.tune( y, x, nfolds = 10, lambda = seq(0, 2, by = 0.1), graph = TRUE )

Compositional documentation built on Oct. 9, 2024, 5:10 p.m.