lmCombine: Combine regressions based on information criteria

In greybox: Toolbox for Model Building and Forecasting

Combine regressions based on information criteria

Description

Function combines parameters of linear regressions of the first variable on all the other provided data.

Usage

lmCombine(data, ic = c("AICc", "AIC", "BIC", "BICc"), bruteforce = FALSE,
  silent = TRUE, formula = NULL, subset = NULL,
  distribution = c("dnorm", "dlaplace", "ds", "dgnorm", "dlogis", "dt",
  "dalaplace", "dlnorm", "dllaplace", "dls", "dlgnorm", "dbcnorm", "dfnorm",
  "dinvgauss", "dgamma", "dpois", "dnbinom", "dlogitnorm", "plogis", "pnorm"),
  parallel = FALSE, ...)

Arguments

data	Data frame containing dependent variable in the first column and the others in the rest.
ic	Information criterion to use.
bruteforce	If TRUE, then all the possible models are generated and combined. Otherwise the best model is found and then models around that one are produced and then combined.
silent	If FALSE, then nothing is silent, everything is printed out. TRUE means that nothing is produced.
formula	If provided, then the selection will be done from the listed variables in the formula after all the necessary transformations.
subset	an optional vector specifying a subset of observations to be used in the fitting process.
distribution	Distribution to pass to alm(). See alm for details.
parallel	If TRUE, then the model fitting is done in parallel. WARNING! Packages foreach and either doMC (Linux and Mac only) or doParallel are needed in order to run the function in parallel.
...	Other parameters passed to alm().

Details

The algorithm uses alm() to fit different models and then combines the models based on the selected IC. The parameters are combined so that if they are not present in some of models, it is assumed that they are equal to zero. Thus, there is a shrinkage effect in the combination.

Some details and examples of application are also given in the vignette "Greybox": vignette("greybox","greybox")

Value

Function returns model - the final model of the class "greyboxC". The list of variables:

• coefficients - combined parameters of the model,

• vcov - combined covariance matrix of the model,

• fitted - the fitted values,

• residuals - residual of the model,

• distribution - distribution used in the estimation,

• logLik - combined log-likelihood of the model,

• IC - the values of the combined information criterion,

• ICType - the type of information criterion used,

• df.residual - number of degrees of freedom of the residuals of the combined model,

• df - number of degrees of freedom of the combined model,

• importance - importance of the parameters,

• combination - the table, indicating which variables were used in every model construction and what were the weights for each model,

• timeElapsed - the time elapsed for the estimation of the model.

Author(s)

Ivan Svetunkov, [e-mail]

References

• Burnham Kenneth P. and Anderson David R. (2002). Model Selection and Multimodel Inference. A Practical Information-Theoretic Approach. Springer-Verlag New York. DOI: [10.1007/b97636](http://dx.doi.org/10.1007/b97636).

• McQuarrie, A. D. (1999). A small-sample correction for the Schwarz SIC model selection criterion. Statistics & Probability Letters, 44(1), 79–86. [10.1016/S0167-7152(98)00294-6](https://doi.org/10.1016/S0167-7152(98)00294-6).

See Also

step, xregExpander, stepwise

Examples

### Simple example
xreg <- cbind(rnorm(100,10,3),rnorm(100,50,5))
xreg <- cbind(100+0.5*xreg[,1]-0.75*xreg[,2]+rnorm(100,0,3),xreg,rnorm(100,300,10))
colnames(xreg) <- c("y","x1","x2","Noise")
inSample <- xreg[1:80,]
outSample <- xreg[-c(1:80),]
# Combine all the possible models
ourModel <- lmCombine(inSample,bruteforce=TRUE)
predict(ourModel,outSample)
plot(predict(ourModel,outSample))

### Fat regression example
xreg <- matrix(rnorm(5000,10,3),50,100)
xreg <- cbind(100+0.5*xreg[,1]-0.75*xreg[,2]+rnorm(50,0,3),xreg,rnorm(50,300,10))
colnames(xreg) <- c("y",paste0("x",c(1:100)),"Noise")
inSample <- xreg[1:40,]
outSample <- xreg[-c(1:40),]
# Combine only the models close to the optimal
ourModel <- lmCombine(inSample, ic="BICc",bruteforce=FALSE)
summary(ourModel)
plot(predict(ourModel, outSample))

# Combine in parallel - should increase speed in case of big data
## Not run: ourModel <- lmCombine(inSample, ic="BICc", bruteforce=TRUE, parallel=TRUE)
summary(ourModel)
plot(predict(ourModel, outSample))
## End(Not run)

greybox documentation built on Sept. 16, 2023, 9:07 a.m.