tests/testthat/test_ridge.R

In SISIR: Select Intervals Suited for Functional Regression

library("SISIR")

context("Testing ridge regression `ridgeSIR`")

test_that("Normalization in ridgeSIR works as expected.", {
  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))
  y <- log(abs(x %*% beta[ ,1])) + sqrt(abs(x %*% beta[ ,2])) + 
    rnorm(nsim, sd = 0.1)
  
  # perform ridge regression
  res_ridge <- ridgeSIR(x, y, H = 10, d = 5, mu2 = 10^8)
  
  # test if normalization is OK
  norm_EDR <- res_ridge$utils$norm_EDR
  
  expect_equal(diag(res_ridge$parameters$d), 
               crossprod(res_ridge$EDR, norm_EDR) %*% res_ridge$EDR,
               tolerance = 10^(-10))
})