refit.mht.order: Refit a 'mht.order' object

In mht: Multiple Hypothesis Testing for Variable Selection in High-Dimensional Linear Models

Description

Refit a mht.order object for a new observation Ynew and/or a new order ordrenew

Usage

## S3 method for class 'mht.order'
refit(object,Ynew,ordrenew,IT,var_nonselect,sigma,showresult,...)

Arguments

object	Object of class "mht.order" as obtained from mht.
Ynew	Response variable of length n.
ordrenew	Vector from which the varibles are to be ordered, it can be a partial order. If absent, data is considers to be already ordered; Default is (1,2,..,p).
IT	Number of simulations in the calculation of the quantile. Default is 10000.
var_nonselect	Number of variables that don't undergo feature selection. They have to be in the first columns of data. Default is 1, the selection is not performed on the intercept.
sigma	Value of the variance if it is known; 0 otherwise. Default is 0.
showresult	Logical value. if TRUE, show the value of the statistics and the estimated quantile at each step of the procedure. Default is TRUE.
...	not used.

Details

see mht.order for details.

Value

A 'mht.order' object is returned.

data	A list containing: X - The scaled matrix used in the algorithm, the first column being (1,...,1). Y - the input response vector means.X - Vector of means of the input data matrix. sigma.X - Vector of variances of the input data matrix.
coefficients	Matrix of the estimated coefficients. Each row concerns a specific user level alpha.
residuals	Matrix of the residuals. Each row concerns a specific user level alpha.
relevant_var	Set of the relevant variables. Each row concerns a specific user level alpha
fitted.values	Matrix of the fitted values, each column concerns a specific user level alpha.
kchap	Vector containing the length of the estimated set of relevant variables, for each values of alpha.
quantile	The estimated type I error to be used in the second step of the procedure in order to have a test of level alpha, each column stands for one test. See F.Rohart (2011) for details.
call	The call that has been used.
call.old	The call that produced the initial 'object'.

Examples

## Not run: 
x=matrix(rnorm(100*20),100,20)
beta=c(rep(2,5),rep(0,15))
y=x%*%beta+rnorm(100)
ynew=x%*%beta+rnorm(100)

# mht.order
mod.order=mht.order(x,y)

# refit mht.order on a new vector of observation
mod.refit=refit(mod.order,ynew)

## End(Not run)

mht documentation built on May 2, 2019, 11:49 a.m.