Description Usage Arguments Details Value References Examples
Performs Rankings-Based Variable Selection using various measures of the dependence between the predictors and the response.
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x |
Matrix with |
y |
Response vector with |
... |
Other parameters that may be passed to |
m |
Subsample size used in the RBVS algorithm. |
B |
Number of sample splits. |
measure |
Character with the name of the method used to measure the association between the response and the covariates. See Details below. |
fun |
Function used to evaluate the measure given in |
s.est |
Function used to estimate the number of important covariates based on the RBVS path. Must accept |
iterative |
Logical variable indicating the type of the procedure. If |
use.residuals |
Logical. If true, the impact of the previously detected variables is removed from the response in the IRBVS procedure. |
k.max |
Maximum size of the subset of important variables.. |
min.max.freq |
Positive integer. Optional parameter - the algorithm stops searching for the most frequent set when the frequencies reach this value. |
max.iter |
Maximum number of iterations fot the IRBVS algorithm. |
verbose |
Logical indicating wheter the progress of the algorithm should be reported. |
Currently supported measures are: Pearson correlation coefficient (measure="pc"
), Distance Correlation (measure="dc"
), the regression coefficients estimated via Lasso (measure="lasso"
), the regression coefficients estimated via MC+ (measure="mcplus"
).
Object of class rbvs with the following fields
measure |
Character indicating type of measure used. |
score |
List with scores at each iteration. |
subsets |
A list with subset candidates at each iteration. |
frequencies |
A list with observed frequencies at each iteration. |
ranks |
Rankings evaluated (for the last iteration |
s.hat |
Vector with the number of the covariates selected at each iteration. |
active |
Vector with the selected covariates. |
timings |
Vector reporting the amount of time the (I)RBVS algorithm took at each iteration. |
R. Baranowski, P. Fryzlewicz (2015), Ranking-Based Variable Selection, in submission (http://personal.lse.ac.uk/baranows/rbvs/rbvs.pdf)).
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Iteration 1: evaluating omega
Iteration 1: evaluating rankings
Iteration 1: selecting variables
Iteration 1: 3 variables selected
[1] 1 2 3
[1] 1 2 3 4
Iteration 1: evaluating omega
Iteration 1: evaluating rankings
Iteration 1: selecting variables
Iteration 1: 3 variables selected
Iteration 1: 3 removing impact of the selected variables
Iteration 2: evaluating omega
Iteration 2: evaluating rankings
Iteration 2: selecting variables
Iteration 2: 1 variables selected
Iteration 2: 1 removing impact of the selected variables
Iteration 3: evaluating omega
Iteration 3: evaluating rankings
Iteration 3: selecting variables
Iteration 3: 0 variables selected
[1] 1 2 3 4
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