GGMblockNullPenalty: Generate the distribution of the penalty parameter under the...

In CFWP/rags2ridges: Ridge Estimation of Precision Matrices from High-Dimensional Data

Generate the distribution of the penalty parameter under the null hypothesis of block-independence

Description

Function that serves as a precursor function to the block-independence test (see GGMblockTest). It generates an empirical distribution of the penalty parameter under the null hypothesis of block independence (in the regularized precision matrix).

Usage

GGMblockNullPenalty(
  Y,
  id,
  nPerm = 25,
  lambdaMin,
  lambdaMax,
  lambdaInit = (lambdaMin + lambdaMax)/2,
  target = default.target(covML(Y)),
  type = "Alt",
  ncpus = 1
)

Arguments

Y	Data matrix. Variables assumed to be represented by columns.
id	A numeric vector acting as an indicator variable for two blocks of the precision matrix. The blocks should be coded as 0 and 1.
nPerm	A numeric or integer determining the number of permutations.
lambdaMin	A numeric giving the minimum value for the penalty parameter.
lambdaMax	A numeric giving the maximum value for the penalty parameter.
lambdaInit	A numeric giving the initial value for the penalty parameter for starting optimization.
target	A target matrix (in precision terms) for Type I ridge estimators.
type	A character indicating the type of ridge estimator to be used. Must be one of: "Alt", "ArchI", "ArchII".
ncpus	A numeric or integer indicating the desired number of cpus to be used.

Details

This function can be viewed as a precursor to the function for the block-independence test (see GGMblockTest). The mentioned test evaluates the null hypothesis of block-independence against the alternative of block-dependence (presence of non-zero elements in the off-diagonal block) in the precision matrix using high-dimensional data. To accommodate the high-dimensionality the parameters of interest are estimated in a penalized manner (ridge-type penalization, see ridgeP). Penalization involves a degree of freedom (the penalty parameter) which needs to be fixed before testing. This function then generates an empirical distribution of this penalty parameter. Hereto the samples are permutated within block. The resulting permuted data sets represent the null hypothesis. To avoid the dependence on a single permutation, many permuted data sets are generated. For each permutation the optimal penalty parameter is determined by means of cross-validation (see optPenalty.LOOCVauto). The resulting optimal penalty parameters are returned. An estimate of the location (such as the median) is recommended for use in the block-independence test.

Value

A numeric vector, representing the distribution of the (LOOCV optimal) penalty parameter under the null hypothesis of block-independence.

Author(s)

Wessel N. van Wieringen, Carel F.W. Peeters <[e-mail]>

See Also

ridgeP, optPenalty.LOOCVauto, default.target, GGMblockTest

Examples

## Obtain some (high-dimensional) data
p = 15
n = 10
set.seed(333)
X = matrix(rnorm(n*p), nrow = n, ncol = p)
colnames(X)[1:15] = letters[1:15]
id <- c(rep(0, 10), rep(1, 5))

## Generate null distribution of the penalty parameter
lambda0dist <- GGMblockNullPenalty(X, id, 5, 0.001, 10)

## Location of null distribution
lambdaNull <- median(lambda0dist)

CFWP/rags2ridges documentation built on Oct. 21, 2023, 10:19 a.m.