gps: Screen Variables for Generalized Linear Models via...

In POCRE: Penalized Orthogonal-Components Regression

Screen Variables for Generalized Linear Models via Generalized POCRE

Description

A pre-specified number (i.e., maxvar) of covariates will be selected for generalized linear models by constructing maxcmp components with generalized POCRE. Each component will be constructed by selecting maxvar/macmp covariates which are most relevant to the response variable(s). Similar to pocrescreen, gps selects covariates for their top relevance to the response variable(s) without penalization.

Usage

gps(y, x, family="binomial", bc.method="optimal", x.include=NULL,
    weights=NULL, maxcmp=10, maxvar=NULL, tol = 1e-6, maxit = 100)

Arguments

y	n*q matrix, values of q response variables (allow for multiple response variables).
x	n*p matrix, values of p predicting variables (excluding the intercept).
family	Family objects as family. Currently only support "gaussian", "binomial" (by default), and "poisson".
bc.method	Bias correction method.
x.include	a vector of indices indicating covariates which should always be included in the model (so not counted into selected maxvar covariates).
weights	A vector, including a prespecified weight for each observation (set as 1/n by default).
maxcmp	maximum number of components to be constructed.
maxvar	maximum number of selected variables.
tol	tolerance of precision in iterations.
maxit	maximum number of iterations to be allowed.

Value

a vector of indices of selected covariates (excluding those in x.include).

Author(s)

Dabao Zhang, Zhongli Jiang, Yu-ting Chen, Department of Statistics, Purdue University

References

Zhang D, Lin Y, and Zhang M (2009). Penalized orthogonal-components regression for large p small n data. Electronic Journal of Statistics, 3: 781-796.

See Also

pocrescreen.

Examples

  # Binomial Data
  data(simbin)
  gps(simbin[,1], simbin[,-1], maxcmp=3, maxvar=9)
  gps(simbin[,1], simbin[,-1], x.include=103:104, maxcmp=3, maxvar=9)
 
 # Count Data
  data(simpoi)
  gps(simpoi[,1], simpoi[,-1], family='poisson',maxcmp=5,maxvar=10)

POCRE documentation built on March 18, 2022, 6:43 p.m.