hardThresholding: Wavelets hard-thresholding rule for independents processes

In RFgroove: Importance Measure and Selection for Groups of Variables with Random Forests

Description

This function projects n indepedent processes on a common wavelet basis and shrinks to zero the n coefficients whose \ell_2-norm is lower than a threshold.

Usage

hardThresholding(xdata, delta, verbose = FALSE, varName = NULL, wavFilter="s8")

Arguments

xdata	The matrix of n independent curves of dimension N=2^J, where J is the number of maximum wavelet level.
delta	The desired threshold. If missing, an automatic threshold is computed.
verbose	Should the details be printed.
varName	The name of the current functional variable.
wavFilter	A character string denoting the filter type. Supported types include: EXTREMAL PHASE (daublet): ‘haar’, ‘d2’, ‘d4’, ‘d6’, ‘d8’, ‘d10’, ‘d12’, ‘d14’, ‘d16’, ‘d18’, ‘d20’ LEAST ASYMMETRIC (symmlet): ‘s2’, ‘s4’, ‘s6’, ‘s8’, ‘s10’, ‘s12’, ‘s14’, ‘s16’, ‘s18’, ‘s20’ BEST LOCALIZED: ‘l2’, ‘l4’, ‘l6’, ‘l14’, ‘l18’, ‘l20’ COIFLET: ‘c6’, ‘c12’, ‘c18’, ‘c24’, ‘c30’ Default: ‘s8’.

Value

A list with two components

mht.names	The names of the common wavelet basis after thresholding the coefficients.
estimatedDesign	The new design matrix after thresholding.

Author(s)

Baptiste Gregorutti

References

Gregorutti, B., Michel, B. and Saint Pierre, P. (2015). Grouped variable importance with random forests and application to multiple functional data analysis, Computational Statistics and Data Analysis 90, 15-35.

See Also

fpca

Examples

  data(toyRegFD)
  x <- toyRegFD$FDlist[[1]]
  newDesignMatrix <- hardThresholding(xdata=x, verbose=TRUE)

Example output

Loading required package: randomForest
randomForest 4.6-14
Type rfNews() to see new features/changes/bug fixes.
Loading required package: wmtsa
Loading required package: fda
Loading required package: splines
Loading required package: Matrix

Attaching package: 'fda'

The following object is masked from 'package:graphics':

    matplot

Automatic threshold  0.0485696 
59 selected coefficients using multiple hard-thresholding.	Filter:  s8 

RFgroove documentation built on May 2, 2019, 8:31 a.m.