conf_prec: Evaluate the Sparsity Estimation Based on Precision

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

Evaluate the Sparsity Estimation Based on Precision

Description

This function computes precision for sparse element of the true coefficients given threshold.

Usage

conf_prec(x, y, ...)

## S3 method for class 'summary.bvharsp'
conf_prec(x, y, truth_thr = 0, ...)

Arguments

x	summary.bvharsp object.
y	True inclusion variable.
...	not used
truth_thr	Threshold value when using non-sparse true coefficient matrix. By default, 0 for sparse matrix.

Details

If the element of the estimate \hat\Phi is smaller than some threshold, it is treated to be zero. Then the precision is computed by

precision = \frac{TP}{TP + FP}

where TP is true positive, and FP is false positive.

Value

Precision value in confusion table

References

Bai, R., & Ghosh, M. (2018). High-dimensional multivariate posterior consistency under global-local shrinkage priors. Journal of Multivariate Analysis, 167, 157-170.

See Also

confusion()

bvhar documentation built on April 4, 2025, 5:22 a.m.