Description Usage Arguments Details Value References Examples
Groupwise OLS (gOLS) BIC criterion to estimate dimensions with eigen-decomposition
1 | gOLS.comp.d(X, y, groups)
|
X |
A covariate matrix of n observations and p predictors. |
y |
A univariate response. |
groups |
A vector with the number of predictors in each group. |
This function estimates dimension for each predictor group using eigen-decomposition. Predictors need to be organized in groups within the "X" matrix, as the same order saved in "groups". We only allow continuous covariates in the "X" matrix; while categorical covariates can be handled outside of gOLS, e.g. structured OLS.
gOLS.comp.d returns a list containning at least the following components: "d", the estimated dimension (at most 1) for each predictor group; "crit", the BIC criterion from each iteration.
Liu, Y., Chiaromonte, F., and Li, B. (2015). Structured Ordinary Least Squares: a sufficient dimension reduction approach for regressions with partitioned predictors and heterogeneous units. Submitted.
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