fregre.pc.cv: Functional penalized PC regression with scalar response using...

In fda.usc: Functional Data Analysis and Utilities for Statistical Computing

Functional penalized PC regression with scalar response using selection of number of PC components

Description

Functional Regression with scalar response using selection of number of (penalized) principal components PC through cross-validation. The algorithm selects the PC with best estimates the response. The selection is performed by cross-validation (CV) or Model Selection Criteria (MSC). After is computing functional regression using the best selection of principal components.

Usage

fregre.pc.cv(
  fdataobj,
  y,
  kmax = 8,
  lambda = 0,
  P = c(0, 0, 1),
  criteria = "SIC",
  weights = rep(1, len = n),
  ...
)

Arguments

fdataobj	fdata class object.
y	Scalar response with length n.
kmax	The number of components to include in the model.
lambda	Vector with the amounts of penalization. Default value is 0, i.e. no penalization is used. If lambda=TRUE the algorithm computes a sequence of lambda values.
P	The vector of coefficients to define the penalty matrix object. For example, if P=c(1,0,0), ridge regresion is computed and if P=c(0,0,1), penalized regression is computed penalizing the second derivative (curvature).
criteria	Type of cross-validation (CV) or Model Selection Criteria (MSC) applied. Possible values are "CV", "AIC", "AICc", "SIC", "SICc", "HQIC".
weights	weights
...	Further arguments passed to fregre.pc or fregre.pls

Details

The algorithm selects the best principal components pc.opt from the first kmax PC and (optionally) the best penalized parameter lambda.opt from a sequence of non-negative numbers lambda.
If kmax is a integer (by default and recomended) the procedure is as follows (see example 1):

• Calculate the best principal component (pc.order[1]) between kmax by fregre.pc.

• Calculate the second-best principal component (pc.order [2]) between the (kmax-1) by fregre.pc and calculate the criteria value of the two principal components.

• The process (point 1 and 2) is repeated until kmax principal component (pc.order[kmax]).

• The proces (point 1, 2 and 3) is repeated for each lambda value.

• The method selects the principal components (pc.opt=pc.order[1:k.min]) and (optionally) the lambda parameter with minimum MSC criteria.

If kmax is a sequence of integer the procedure is as follows (see example 2):

• The method selects the best principal components with minimum MSC criteria by stepwise regression using fregre.pc in each step.

• The process (point 1) is repeated for each lambda value.

• The method selects the principal components (pc.opt=pc.order[1:k.min]) and (optionally) the lambda parameter with minimum MSC criteria.

Finally, is computing functional PC regression between functional explanatory variable X(t) and scalar response Y using the best selection of PC pc.opt and ridge parameter rn.opt.
The criteria selection is done by cross-validation (CV) or Model Selection Criteria (MSC).

• Predictive Cross-Validation: PCV(k_n)=1/n ∑_(i=1:n) (y_i - \hat{y}_{-i})^2,
  criteria=“CV”

• Model Selection Criteria: MSC(k_n)=log [ 1/n ∑_(i=1:n){ (y_i- \hat{y}_i )^2} ] +p_n k_n/n

p_n=log(n)/n, criteria=“SIC” (by default)
p_n=log(n)/(n-k_n-2), criteria=“SICc”
p_n=2, criteria=“AIC”
p_n=2n/(n-k_n-2), criteria=“AICc”
p_n=2log(log(n))/(n), criteria=“HQIC”
where criteria is an argument that controls the type of validation used in the selection of the smoothing parameter kmax=k_n and penalized parameter lambda=λ.

Value

Return:

• fregre.pc Fitted regression object by the best (pc.opt) components.

• pc.opt Index of PC components selected.

• MSC.min Minimum Model Selection Criteria (MSC) value for the (pc.opt components.

• MSC Minimum Model Selection Criteria (MSC) value for kmax components.

Note

criteria=``CV'' is not recommended: time-consuming.

Author(s)

Manuel Febrero-Bande, Manuel Oviedo de la Fuente [e-mail]

References

Febrero-Bande, M., Oviedo de la Fuente, M. (2012). Statistical Computing in Functional Data Analysis: The R Package fda.usc. Journal of Statistical Software, 51(4), 1-28. https://www.jstatsoft.org/v51/i04/

See Also

See also as:fregre.pc .

Examples

## Not run: 
data(tecator)
x<-tecator$absorp.fdata[1:129]
y<-tecator$y$Fat[1:129]
# no penalization
 res.pc1=fregre.pc.cv(x,y,8)
# 2nd derivative penalization
 res.pc2=fregre.pc.cv(x,y,8,lambda=TRUE,P=c(0,0,1))
# Ridge regression
res.pc3=fregre.pc.cv(x,y,1:8,lambda=TRUE,P=1) 

## End(Not run)

fda.usc documentation built on Oct. 17, 2022, 9:06 a.m.