cv.HDtweedie: Cross-validation for HDtweedie

In emeryyi/hdtweedie: The Lasso for the Tweedie's Compound Poisson Model Using an IRLS-BMD Algorithm

Description

Does k-fold cross-validation for HDtweedie, produces a plot, and returns a value for lambda. This function is modified based on the cv function from the glmnet package.

Usage

cv.HDtweedie(x, y, group = NULL, p, weights, lambda = NULL, 
	pred.loss = c("deviance", "mae", "mse"), 
	nfolds = 5, foldid, ...)

Arguments

x	matrix of predictors, of dimension n*p; each row is an observation vector.
y	response variable. This argument should be non-negative.
group	To apply the grouped lasso, it is a vector of consecutive integers describing the grouping of the coefficients (see example below). To apply the lasso, the user can ignore this argument, and the vector is automatically generated by treating each variable as a group.
p	the power used for variance-mean relation of Tweedie model. Default is 1.50.
weights	the observation weights. Default is equal weight.
lambda	optional user-supplied lambda sequence; default is NULL, and HDtweedie chooses its own sequence.
pred.loss	loss to use for cross-validation error. Valid options are: "deviance" Deviance. "mae" Mean absolute error. "mse" Mean square error. Default is "deviance".
nfolds	number of folds - default is 5. Although nfolds can be as large as the sample size (leave-one-out CV), it is not recommended for large datasets. Smallest value allowable is nfolds=3.
foldid	an optional vector of values between 1 and nfold identifying what fold each observation is in. If supplied, nfold can be missing.
...	other arguments that can be passed to HDtweedie.

Details

The function runs HDtweedie nfolds+1 times; the first to get the lambda sequence, and then the remainder to compute the fit with each of the folds omitted. The average error and standard deviation over the folds are computed.

Value

an object of class cv.HDtweedie is returned, which is a list with the ingredients of the cross-validation fit.

lambda	the values of lambda used in the fits.
cvm	the mean cross-validated error - a vector of length length(lambda).
cvsd	estimate of standard error of cvm.
cvupper	upper curve = cvm+cvsd.
cvlower	lower curve = cvm-cvsd.
name	a text string indicating type of measure (for plotting purposes).
HDtweedie.fit	a fitted HDtweedie object for the full data.
lambda.min	The optimal value of lambda that gives minimum cross validation error cvm.
lambda.1se	The largest value of lambda such that error is within 1 standard error of the minimum.

Author(s)

Wei Qian, Yi Yang and Hui Zou
Maintainer: Wei Qian <[e-mail]>

References

Qian, W., Yang, Y., Yang, Y. and Zou, H. (2013), “Tweedie's Compound Poisson Model With Grouped Elastic Net,” submitted to Journal of Computational and Graphical Statistics.

See Also

HDtweedie, plot.cv.HDtweedie, predict.cv.HDtweedie, and coef.cv.HDtweedie methods.

Examples

# load HDtweedie library
library(HDtweedie)

# load data set
data(auto)

# 5-fold cross validation using the lasso
cv0 <- cv.HDtweedie(x=auto$x,y=auto$y,p=1.5,nfolds=5) 

# define group index
group1 <- c(rep(1,5),rep(2,7),rep(3,4),rep(4:14,each=3),15:21)

# 5-fold cross validation using the grouped lasso 
cv1 <- cv.HDtweedie(x=auto$x,y=auto$y,group=group1,p=1.5,nfolds=5)

emeryyi/hdtweedie documentation built on May 16, 2019, 5:06 a.m.