predict.SIS: Model prediction based on a fitted SIS object.

In SIS: Sure Independence Screening

Description

Similar to the usual predict methods, this function returns predictions from a fitted 'SIS' object.

Usage

## S3 method for class 'SIS'
predict(
  object,
  newx,
  lambda = object$lambda,
  which = NULL,
  type = c("response", "link", "class"),
  ...
)

Arguments

object	Fitted 'SIS' model object.
newx	Matrix of new values for x at which predictions are to be made, without the intercept term.
lambda	Penalty parameter lambda of the final fitted model by (I)SIS at which predictions are required. By default, only the lambda minimizing the criterion tune is returned.
which	Indices of the penalty parameter lambda of the final fitted model by (I)SIS at which predictions are required. If supplied, will overwrite the default lambda value.
type	Type of prediction required. Type 'response' gives the fitted values for 'gaussian', fitted probabilities for 'binomial', fitted mean for 'poisson', and the fitted relative risk for 'cox'. Type 'link' returns the linear predictors for 'binomial', 'poisson' and 'cox' models; for 'gaussian' models it is equivalent to type 'response'. Type 'class' applies only to 'binomial' models, and produces the class label corresponding to the maximum probability (0-1 labels).
...	Not used. Other arguments to predict.

Value

The object returned depends on type.

Author(s)

Jianqing Fan, Yang Feng, Diego Franco Saldana, Richard Samworth, and Yichao Wu

References

Diego Franco Saldana and Yang Feng (2018) SIS: An R package for Sure Independence Screening in Ultrahigh Dimensional Statistical Models, Journal of Statistical Software, 83, 2, 1-25.

Jianqing Fan and Jinchi Lv (2008) Sure Independence Screening for Ultrahigh Dimensional Feature Space (with discussion). Journal of Royal Statistical Society B, 70, 849-911.

Jianqing Fan and Rui Song (2010) Sure Independence Screening in Generalized Linear Models with NP-Dimensionality. The Annals of Statistics, 38, 3567-3604.

Jianqing Fan, Richard Samworth, and Yichao Wu (2009) Ultrahigh Dimensional Feature Selection: Beyond the Linear Model. Journal of Machine Learning Research, 10, 2013-2038.

Jianqing Fan, Yang Feng, and Yichao Wu (2010) High-dimensional Variable Selection for Cox Proportional Hazards Model. IMS Collections, 6, 70-86.

Jianqing Fan, Yang Feng, and Rui Song (2011) Nonparametric Independence Screening in Sparse Ultrahigh Dimensional Additive Models. Journal of the American Statistical Association, 106, 544-557.

Diego Franco Saldana and Yang Feng (2014) SIS: An R package for Sure Independence Screening in Ultrahigh Dimensional Statistical Models, Journal of Statistical Software.

See Also

SIS

Examples

set.seed(0)
n = 400; p = 50; rho = 0.5
corrmat = diag(rep(1-rho, p)) + matrix(rho, p, p)
corrmat[,4] = sqrt(rho)
corrmat[4, ] = sqrt(rho)
corrmat[4,4] = 1
corrmat[,5] = 0
corrmat[5, ] = 0
corrmat[5,5] = 1
cholmat = chol(corrmat)
x = matrix(rnorm(n*p, mean=0, sd=1), n, p)
x = x%*%cholmat
testX = matrix(rnorm(10*p, mean=0, sd=1), nrow=10, ncol=p)

# gaussian response 
set.seed(1)
b = c(4,4,4,-6*sqrt(2),4/3)
y=x[, 1:5]%*%b + rnorm(n)
model1=SIS(x, y, family='gaussian', tune='bic', varISIS='aggr', seed=11)

predict(model1, testX, type='response')
predict(model1, testX, which=1:10, type='response')

## Not run: 
# binary response 
set.seed(2)
feta = x[, 1:5]%*%b; fprob = exp(feta)/(1+exp(feta))
y = rbinom(n, 1, fprob)
model2=SIS(x, y, family='binomial', tune='bic', varISIS='aggr', seed=21)

predict(model2, testX, type='response')
predict(model2, testX, type='link')
predict(model2, testX, type='class')

predict(model2, testX, which=1:10, type='response')
predict(model2, testX, which=1:10, type='link')
predict(model2, testX, which=1:10, type='class')

# poisson response
set.seed(3)
b = c(0.6,0.6,0.6,-0.9*sqrt(2))
myrates = exp(x[, 1:4]%*%b)
y = rpois(n, myrates)
model3=SIS(x, y, family='poisson', penalty = 'lasso',tune='bic', varISIS='aggr', seed=31)

predict(model3, testX, type='response')
predict(model3, testX, type='link')

## End(Not run)

SIS documentation built on March 26, 2020, 7:43 p.m.