pred.rrenv: Estimation or prediction for rrenv

In Renvlp: Computing Envelope Estimators

Estimation or prediction for rrenv

Description

Perform estimation or prediction under the reduced rank envelope model.

Usage

pred.rrenv(m, Xnew)

Arguments

m	A list containing estimators and other statistics inherited from rrenv.
Xnew	The value of X with which to estimate or predict Y. A p dimensional vector.

Details

This function evaluates the reduced rank envelope model at new value Xnew. It can perform estimation: find the fitted value when X = Xnew, or prediction: predict Y when X = Xnew. The covariance matrix and the standard errors are also provided.

Value

The output is a list that contains following components.

value	The fitted value or the predicted value evaluated at Xnew.
covMatrix.estm	The covariance matrix of the fitted value at Xnew.
SE.estm	The standard error of the fitted value at Xnew.
covMatrix.pred	The covariance matrix of the predicted value at Xnew.
SE.pred	The standard error of the predicted value at Xnew.

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 <- rrenv(X, Y, 4, 2)
m

X <- as.matrix(X)
pred.res <- pred.rrenv(m, X[2, ])
pred.res

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