u.henv: Select the dimension of henv

In Renvlp: Computing Envelope Estimators

Select the dimension of henv

Description

This function outputs dimensions selected by Akaike information criterion (AIC), Bayesian information criterion (BIC) and likelihood ratio testing with specified significance level for the heteroscedastic envelope model.

Usage

u.henv(X, Y, alpha = 0.01)

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.
alpha	Significance level for testing. The default is 0.01.

Value

u.aic	Dimension of the heteroscedastic envelope subspace selected by AIC.
u.bic	Dimension of the heteroscedastic envelope subspace selected by BIC.
u.lrt	Dimension of the heteroscedastic envelope subspace selected by the likelihood ratio testing procedure.
loglik.seq	Log likelihood for dimension from 0 to r.
aic.seq	AIC value for dimension from 0 to r.
bic.seq	BIC value for dimension from 0 to r.

Examples

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

## Not run: u <- u.henv(X, Y)
## Not run: u

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