cv.henv: Cross validation for henv

In Renvlp: Computing Envelope Estimators

Cross validation for henv

Description

Compute the prediction error for the heteroscedastic envelope estimator using m-fold cross validation.

Usage

cv.henv(X, Y, u, m, nperm)

Arguments

X	A group indicator vector of length n, where n denotes the number of observations.
Y	Multivariate responses. An n by r matrix, r is the number of responses and n is number of observations. The responses must be continuous variables.
u	Dimension of the heteroscedastic envelope. An integer between 0 and r.
m	A positive integer that is used to indicate m-fold cross validation.
nperm	A positive integer indicating number of permutations of the observations, m-fold cross validation is run on each permutation.

Details

This function computes prediction errors using m-fold cross validation. For a fixed dimension u, the data is randomly partitioned into m parts, each part is in turn used for testing for the prediction performance while the rest m-1 parts are used for training. This process is repeated for nperm times, and average prediction error is reported. As Y is multivariate, the identity inner product is used for computing the prediction errors.

Value

The output is a real nonnegative number.

cvPE	The prediction error estimated by m-fold cross validation.

Examples

data(waterstrider)
X <- waterstrider[ , 1]
Y <- waterstrider[ , 2:5]

m <- 5
nperm <- 50

## Not run: cvPE <- cv.henv(X, Y, 2, m, nperm)
## Not run: cvPE

Renvlp documentation built on Oct. 11, 2023, 1:06 a.m.