u.rrenv.apweights: Select the dimension of rrenv.apweights

In Renvlp: Computing Envelope Estimators

Select the dimension of rrenv.apweights

Description

This function outputs the envelope dimension selected by Akaike information criterion (AIC), Bayesian information criterion (BIC) and likelihood ratio testing with specified significance level for the reduced rank envelope model with nonconstant error variance.

Usage

u.rrenv.apweights(X, Y, d, alpha = 0.01)

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.
d	The rank of the coefficient matrix. An integer between 0 and r.
alpha	Significance level for testing. The default is 0.01.

Value

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

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
d <- d.select(X, Y, 0.01)
d

## Not run: u <- u.rrenv.apweights(X, Y, 2)
## Not run: u

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