cv.sxenv: Cross validation for sxenv

In Renvlp: Computing Envelope Estimators

Cross validation for sxenv

Description

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

Usage

cv.sxenv(X, Y, u, R, m, nperm)

Arguments

X	Predictors. An n by p matrix, p is the number of predictors and n is number of observations. The predictors must be continuous variables.
Y	Responses. An n by r matrix, r is the number of responses. The response can be univariate or multivariate and must be continuous variable.
u	Dimension of the scaled envelope. An integer between 0 and r.
R	The number of replications of the scales. A vector, the sum of all elements of R must be p.
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(sales)
Y <- sales[, 1:3]
X <- sales[, 4:7]
R <- rep(1, 4)

m <- 5
nperm <- 50
## Not run: cvPE <- cv.sxenv(X, Y, 2, R, m, nperm)
## Not run: cvPE

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