sAIC: Compute the Akaike information criterion for the lasso in...

In sAIC: Akaike Information Criterion for Sparse Estimation

Compute the Akaike information criterion for the lasso in generalized linear models

Description

This function computes the Akaike information criterion for generalized linear models estimated by the lasso.

Usage

sAIC(x, y=NULL, beta, family=c("binomial","poisson","ggm"))

Arguments

x	A data matrix.
y	A response vector. If you select family="ggm", you should omit this argument.
beta	An estimated coefficient vector including the intercept. If you select family="ggm", you should use an estimated precision matrix.
family	Response type (binomial, Poisson or Gaussian graphical model).

Value

AIC	The value of AIC.

Author(s)

Shuichi Kawano
[e-mail]

References

Ninomiya, Y. and Kawano, S. (2016). AIC for the Lasso in generalized linear models. Electronic Journal of Statistics, 10, 2537–2560. doi: 10.1214/16-EJS1179

Examples

library(MASS)
library(glmnet)
library(glasso)

### logistic model
set.seed(3)
n <- 100; np <- 10; beta <- c(rep(0.5,3), rep(0,np-3))
Sigma <- diag( rep(1,np) )
for(i in 1:np) for(j in 1:np) Sigma[i,j] <- 0.5^(abs(i-j))
x <- mvrnorm(n, rep(0, np), Sigma)
y <- rbinom(n,1,1-1/(1+exp(x%*%beta)))
glmnet.object <- glmnet(x,y,family="binomial",alpha=1)
coef.glmnet <- coef(glmnet.object)
### coefficients
coef.glmnet[ ,10]
### AIC
sAIC(x=x, y=y, beta=coef.glmnet[ ,10], family="binomial")

### Poisson model
set.seed(1)
n <- 100; np <- 10; beta <- c(rep(0.5,3), rep(0,np-3))
Sigma <- diag( rep(1,np) )
for(i in 1:np) for(j in 1:np) Sigma[i,j] <- 0.5^(abs(i-j))
x <- mvrnorm(n, rep(0, np), Sigma)
y <- rpois(n,exp(x%*%beta))
glmnet.object <- glmnet(x,y,family="poisson",alpha=1)
coef.glmnet <- coef(glmnet.object)
### coefficients
coef.glmnet[ ,20]
### AIC
sAIC(x=x, y=y, beta=coef.glmnet[ ,20], family="poisson")

### Gaussian graphical model
set.seed(1)
n <- 100; np <- 10; lambda_list <- 1:100/50
invSigma <- diag( rep(0,np) )
for(i in 1:np) 
{
	for(j in 1:np)
	{
		if( i == j ) invSigma[i ,j] <- 1
		if( i == (j-1) || (i-1) == j ) invSigma[i ,j] <- 0.5
	}
}
Sigma <- solve(invSigma)
x <- scale(mvrnorm(n, rep(0, np), Sigma))
glasso.object <- glassopath(var(x), rholist=lambda_list, trace=0)
### AIC
sAIC(x=x, beta=glasso.object$wi[,,10], family="ggm")

sAIC documentation built on Oct. 19, 2022, 1:07 a.m.