dy.d_: Partial Derivative dy/d_[wrt]

Description Usage Arguments Value Author(s) References Examples

View source: R/dy_d_wrt.R

Description

Returns the numerical partial derivate of y with respect to [wrt] any regressor for a point of interest. Finite difference method is used with NNS.reg estimates as f(x + h) and f(x - h) values.

Usage

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dy.d_(x, y, wrt, eval.points = "median", folds = 5, mixed = FALSE,
  plot = FALSE, messages = TRUE)

Arguments

x

a numeric matrix or data frame.

y

a numeric vector with compatible dimsensions to x.

wrt

integer; Selects the regressor to differentiate with respect to.

eval.points

numeric or options: ("mean", median", "last", "all"); Regressor points to be evaluated. (eval.points = "median") (default) to find the average partial derivative at the median of the variable with respect to. Set to (eval.points = "last") to find the average partial derivative at the last observation of the variable with respect to (relevant for time-series data). Set to (eval.points="mean") to find the average partial derivative at the mean of the variable with respect to. Set to (eval.points = "all") to find the overall partial derivative at every observation of the variable with respect to.

folds

integer; 5 (default) Sets the number of folds in the NNS.stack procedure for optimal n.best parameter.

mixed

logical; FALSE (default) If mixed derivative is to be evaluated, set (mixed = TRUE).

plot

logical; FALSE (default) Set to (plot = TRUE) to view plot. Default setting is (noise.reduction = "mean").

messages

logical; TRUE (default) Prints status messages of cross-validation on n.best parameter for NNS.reg.

Value

Returns:

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995

Examples

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## Not run: 
set.seed(123) ; x_1 <- runif(100) ; x_2 <- runif(100) ; y <- x_1 ^ 2 * x_2 ^ 2
B <- cbind(x_1, x_2)

## To find average partial derivative of y wrt 1st regressor, only supply 1 value in [eval.points]
dy.d_(B, y, wrt = 1, eval.points = c(.5))

dy.d_(B, y, wrt = 1, eval.points = mean(B[, 1]))

## To find derivatives of y wrt 1st regressor and specified 2nd regressor
dy.d_(B, y, wrt = 1, eval.points = c(.5, .5))


## Known function analysis: [y = a ^ 2 * b ^ 2]
x_1 <- seq(0, 1, .1) ; x_2 <- seq(0, 1, .1)
B <- expand.grid(x_1, x_2) ; y <- B[ , 1] ^ 2 * B[ , 2] ^ 2
dy.d_(B, y, wrt = 1, eval.points = c(.5, .5))
## End(Not run)

OVVO-Financial/NNS documentation built on Feb. 14, 2020, 8:16 a.m.