R/PredictAdaptiveReg.R

In fhebert/AdaptivePrediction: Adaptive Prediction Rules

PredictAdaptiveReg = function(fit,xnew){
  tmp = as.vector(predZg(fit$ZgMoments,fit$ZgMoments$dta$x,fit$nv))
  xbar = mean(tmp)
  ybar = mean(fit$ZgMoments$dta$y)
  covxy = cov(tmp,fit$ZgMoments$dta$y)
  varx = var(tmp)
  b = covxy/varx
  a = ybar-b*xbar
  res = a+b*as.vector(predZg(fit$ZgMoments,xnew,fit$nv))
  return(res)
}