R/pred.xenv.R

In Renvlp: Computing Envelope Estimators

pred.xenv <- function(m, Xnew) {
  
  if(is.null(m$ratio)) stop("The asymptotic distribution part of xenv is missing. Rerun xenv with asy = T")
  
  n <- m$n
  r <- ncol(m$SigmaYcX)
  if (is.null(m$Gamma)) {
    u <- 0
  } else { 
    u <- ncol(m$Gamma)
  }
  
  if (u == 0) {
    value <- m$mu
    covMatrix.estm <- m$SigmaYcX / n
    covMatrix.pred <- (1 + 1 / n) * m$SigmaYcX
  } else {
    Xnew <- as.matrix(Xnew)
    if (nrow(Xnew) == 1) Xnew <- t(Xnew)
    value <- m$mu + crossprod(m$beta, Xnew)
    temp <- kronecker(diag(r), Xnew) 
      covMatrix.estm <- m$SigmaYcX / n + crossprod(temp, m$covMatrix) %*% temp / n
      covMatrix.pred <- (1 + 1 / n) * m$SigmaYcX + crossprod(temp, m$covMatrix) %*% temp / n
  }
  
  SE.estm <- sqrt(diag(covMatrix.estm))
  SE.pred <- sqrt(diag(covMatrix.pred))
  return(
    list(
      value = value, covMatrix.estm = covMatrix.estm, SE.estm = SE.estm, covMatrix.pred = covMatrix.pred, SE.pred = SE.pred
    )
  )   
}