predict.plus: Extract coefficients and make predictions from a plus...

In plus: Penalized Linear Unbiased Selection

Description

While plus() produces turning points in a path of critical points of a penalized squared loss, predict.plus extracts coefficients and make predictions at particular penalty levels by linear interpolation. The extracted coefficients are the same as these produced by plus() when the input lam is the same.

Usage

## S3 method for class 'plus'
predict(object, lam, newx, ...) 
## S3 method for class 'plus'
coef(object, lam, ...) 

Arguments

object	A fitted plus object
lam	A decreasing sequence of nonnegative numbers as penalty levels at which the coefficients are extracted and predictions are required. Default is the ordered values of lam.path generated by plus().
newx	x values at which the fit is required. If newx is not set, coefficients are extacted but predictions are not produced.
...	Additonal arguments for generic methods

Value

A list containing the following items:

lambda	penalty levels at which the coefficients and predicted values are extracted.
coefficients	extracted coefficients.
dimension	number of nonzero coefficients.
r.square	R-square as the ratio of the total centered residual sum of squares and the total centered sum of squares.
step	number of plus steps required to compute the coefficients.
method	including the LASSO, MC+, and SCAD.
newy	extracted predictions at newx; not produced if newx is not supplied.
...	Additonal arguments for generic methods

Author(s)

Cun-Hui Zhang and Ofer Melnik

References

Zhang, C.-H. (2010). Nearly unbiased variable selection under minimax concave penalty. Annals of Statistics 38, 894-942.

See Also

print, plot, plus

Examples

data(sp500)
attach(sp500)

x <- sp500.percent[,3: (dim(sp500.percent)[2])] 
y <- sp500.percent[,1]

object <- plus(x,y,method="mc+")
## extract coefficients for the first 10 values of lam.path at values in x  
extracted.values <- predict(object, lam = sort(object$lam.path[1:10],decreasing=TRUE), newx=object$x)
extracted.coef <- coef(object, lam = sort(object$lam.path[1:10],decreasing=TRUE))
detach(sp500)

plus documentation built on May 2, 2019, 7:01 a.m.