cv.rrenv.apweights: Cross validation for rrenv.apweights In Renvlp: Computing Envelope Estimators

 cv.rrenv.apweights R Documentation

Cross validation for rrenv.apweights

Description

Compute the prediction error using m-fold cross validation for the reduced rank envelope estimator that accommodates nonconstant error covariance.

Usage

``````cv.rrenv.apweights(X, Y, u, d, m, nperm)
``````

Arguments

 `X` Predictors. An n by p matrix, p is the number of predictors. The predictors can be univariate or multivariate, discrete or continuous. `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 envelope. An integer between 0 and r. `d` The rank of the coefficient matrix. An integer between 0 and u. `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(vehicles)
X <- vehicles[, 1:11]
Y <- vehicles[, 12:15]
X <- scale(X)
Y <- scale(Y)  # The scales of Y are vastly different, so scaling is reasonable here

m <- 5
nperm <- 50
## Not run: cvPE <- cv.rrenv.apweights(X, Y, 3, 2, m, nperm)
## Not run: cvPE
``````

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