cv.scout: Perform cross-validation for covariance-regularized...
In scout: Implements the Scout Method for Covariance-Regularized Regression

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/scout.R

This function returns cross-validation error rates for a range of lambda1 and lambda2 values, and also makes beautiful CV plots if plot=TRUE.

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cv.scout(x, y, K= 10,
  lam1s=seq(0.001,.2,len=10),lam2s=seq(0.001,.2,len=10),p1=2,p2=1,
  trace = TRUE, plot=TRUE,plotSE=FALSE,rescale=TRUE,...)

`x`	A matrix of predictors, where the rows are the samples and the columns are the predictors
`y`	A matrix of observations, where length(y) should equal nrow(x)
`K`	Number of cross-validation folds to be performed; default is 10
`lam1s`	The (vector of) tuning parameters for regularization of the covariance matrix. Can be NULL if p1=NULL, since then no covariance regularization is taking place. If p1=1 and nrow(x)<ncol(x), then the no value in lam1s should be smaller than 1e-3, because this will cause graphical lasso to take too long. Also, if ncol(x)>500 then we really do not recommend using p1=1, as graphical lasso can be uncomfortably slow.
`lam2s`	The (vector of) tuning parameters for the $L_1$ regularization of the regression coefficients, using the regularized covariacne matrix. Can be NULL if p2=NULL. (If p2=NULL, then non-zero lam2s have no effect). A value of 0 will result in no regularization.
`p1`	The $L_p$ penalty for the covariance regularization. Must be one of 1, 2, or NULL. NULL corresponds to no covariance regularization.
`p2`	The $L_p$ penalty for the estimation of the regression coefficients based on the regularized covariance matrix. Must be one of 1 (for $L_1$ regularization) or NULL (for no regularization).
`trace`	Print out progress as we go? Default is TRUE.
`plot`	If TRUE (by default), makes beautiful CV plots.
`plotSE`	Should those beautiful CV plots also display std error bars for the CV? Default is FALSE
`rescale`	Scout rescales coefficients, by default, in order to avoid over-shrinkage
`...`	Additional parameters

Pass in a data matrix x and a vector of outcomes y; it will perform (10-fold) cross-validation over a range of lambda1 and lambda2 values. By default, Scout(2,1) is performed.

`folds`	The indices of the members of the K test sets are returned.
`cv`	A matrix of average cross-validation errors is returned.
`cv.error`	A matrix containing the standard errors of the elements in "cv", the matrix of average cross-validation errors.
`bestlam1`	Best value of lam1 found via cross-validation.
`bestlam2`	Best value fo lam2 found via cross-validation.
`lam1s`	Values of lam1 considered.
`lam2s`	Values of lam2 considered.

Daniela M. Witten and Robert Tibshirani

Witten, DM and Tibshirani, R (2008) Covariance-regularized regression and classification for high-dimensional problems. Journal of the Royal Statistical Society, Series B 71(3): 615-636. <http://www-stat.stanford.edu/~dwitten>

scout, predict.scoutobject

library(lars)
data(diabetes)
attach(diabetes)
par(mfrow=c(2,1))
par(mar=c(2,2,2,2))
## Not run: cv.sc <- cv.scout(x2,y,p1=2,p2=1)
## Not run: print(cv.sc)
## Not run: cv.la <- cv.lars(x2,y)
## Not run: print(c("Lars minimum CV is ", min(cv.la$cv)))
## Not run: print(c("Scout(2,1) minimum CV is ", min(cv.sc$cv)))
detach(diabetes)