RSAVE: Regularized Sliced Average Variance Estimator
In abnormally-distributed/cvreg: Cross Validation and Robust Estimation Utilities

Description Usage Arguments Value References

This implements the same method of regularization used in RSIR to improve the stability of SAVE in high dimensional scenarios.

RSAVE(
  formula,
  data,
  rank = "all",
  slices = 4,
  ytype = c("numeric", "categorical"),
  target = c("ident", "const", "pca"),
  lambda = 1
)

`formula`	a model formula
`data`	a data frame
`rank`	the desired number of sufficient predictors to return. the default is "all".
`slices`	the number of slices into which the response variable should be split. defaults to 5. for categorical response variables the maximum allowed is the number of response levels minus one. if set above this, it is silently adjusted.
`ytype`	either numeric or categorical
`target`	one of "ident", "const", or "pca". "ident" uses as the shrinkage target the identity matrix, which yields the ridge penalty, (x'x + Iλ)^{-1}. "const" uses as the shrinakge target a matrix with the geometric mean of the variances along the diagonal, and the mean covariance in each off-diagonal cell. "pca"
`lambda`	the regularization parameter. note that the value selected will have quite different impacts depending on the shrinkage target.

an sdr object

Cook, R.D., Weisberg, S. (1991) Sliced Inverse Regression for Dimension Reduction: Comment. Journal of the American Statistical Association, 86(414):328-332

Zhong, W., Zeng, P., Ma, P., Liu, J.S., & Zhu, M.Y. (2005). RSIR: regularized sliced inverse regression for motif discovery. Bioinformatics, 21 22, 4169-75.

Bernard-Michel, C., Gardes, L., & Girard, S. (2009a). Gaussian Regularized Sliced Inverse Regression. Statistics and Computing, 19, 85-98.

Bernard‐Michel, C., Douté, S., Fauvel, M., Gardes, L., & Girard, S. (2009b). Retrieval of Mars surface physical properties from OMEGA hyperspectral images using regularized sliced inverse regression, J. Geophys. Res., 114, E06005, doi:10.1029/2008JE003171.

abnormally-distributed/cvreg documentation built on May 3, 2020, 3:45 p.m.