SISIR | R Documentation |
SISIR
performs an automatic search of relevant intervals
SISIR(
object,
inter_len = rep(1, nrow(object$EDR)),
sel_prop = 0.05,
itermax = Inf,
minint = 2,
parallel = TRUE,
ncores = NULL
)
object |
an object of class |
inter_len |
(numeric) vector with interval lengths for the initial state. Default is to set one interval for each variable (all intervals have length 1) |
sel_prop |
fraction of the coefficients that will be considered as strong zeros and strong non zeros. Default to 0.05 |
itermax |
maximum number of iterations. Default to Inf |
minint |
minimum number of intervals. Default to 2 |
parallel |
whether the computation should be performed in parallel or not. Logical. Default is FALSE |
ncores |
number of cores to use if |
Different quality criteria used to select the best models among a list of
models with different interval definitions. Quality criteria are:
log-likelihood (loglik
), cross-validation error as provided by the
function glmnet
, two versions of the AIC (AIC
and AIC2
) and of the BIC (BIC
and BIC2
) in which the
number of parameters is either the number of non null intervals or the
number of non null parameters with respect to the original variables
S3 object of class SISIR
: a list consisting of
sEDR
the estimated EDR spaces (a list of p x d matrices)
alpha
the estimated shrinkage coefficients (a list of
vectors)
intervals
the interval lengths (a list of vectors)
quality
a data frame with various qualities for the model.
The chosen quality measures are the same than for the function
sparseSIR
plus the number of intervals nbint
init_sel_prop
initial fraction of the coefficients which
are considered as strong zeros or strong non zeros
rSIR
same as the input object
Victor Picheny, victor.picheny@inrae.fr
Remi Servien, remi.servien@inrae.fr
Nathalie Vialaneix, nathalie.vialaneix@inrae.fr
Picheny, V., Servien, R. and Villa-Vialaneix, N. (2016) Interpretable sparse SIR for digitized functional data. Statistics and Computing, 29(2), 255–267.
ridgeSIR
, sparseSIR
set.seed(1140)
tsteps <- seq(0, 1, length = 200)
nsim <- 100
simulate_bm <- function() return(c(0, cumsum(rnorm(length(tsteps)-1, sd=1))))
x <- t(replicate(nsim, simulate_bm()))
beta <- cbind(sin(tsteps*3*pi/2), sin(tsteps*5*pi/2))
beta[((tsteps < 0.2) | (tsteps > 0.5)), 1] <- 0
beta[((tsteps < 0.6) | (tsteps > 0.75)), 2] <- 0
y <- log(abs(x %*% beta[ ,1]) + 1) + sqrt(abs(x %*% beta[ ,2]))
y <- y + rnorm(nsim, sd = 0.1)
res_ridge <- ridgeSIR(x, y, H = 10, d = 2, mu2 = 10^8)
## Not run: res_fused <- SISIR(res_ridge, rep(1, ncol(x)))
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