The goal of cvwrapr
is to make cross-validation (CV) easy. The main
function in the package is kfoldcv
. It performs K-fold CV for a
hyperparameter, returning the CV error for a path of hyperparameter
values along with other useful information. The computeError
function
allows the user to compute the CV error for a range of loss functions
from a matrix of out-of-fold predictions. See the package vignettes for
more examples.
You can install the development version from GitHub with:
# install.packages("devtools")
devtools::install_github("kjytay/cvwrapr")
This is a basic example showing how to perform cross-validation for the
lambda
parameter in the lasso (Tibshirani 1996).
# simulate data
set.seed(1)
nobs <- 100; nvars <- 10
x <- matrix(rnorm(nobs * nvars), nrow = nobs)
y <- rowSums(x[, 1:2]) + rnorm(nobs)
library(cvwrapr)
library(glmnet)
set.seed(1)
cv_fit <- kfoldcv(x, y, train_fun = glmnet, predict_fun = predict)
The returned output contains information on the CV procedure and can be plotted.
names(cv_fit)
#> [1] "lambda" "cvm" "cvsd" "cvup" "cvlo"
#> [6] "lambda.min" "lambda.1se" "index" "name" "overallfit"
plot(cv_fit)
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