Nested_LPM_AIC_CV_50Split: Recommended method for estimating the error variance

In hwyneken/MAILPackage: Model-Averaged Inferential Learning

Recommended method for estimating the error variance

Description

Nested_LPM_AIC_CV_50Split estimates the error variance with the test set RMSE across 1000 data splits

Usage

Nested_LPM_AIC_CV_50Split(XMat, yVec, numSim_Outer = 20, numCV_Inner = 30)

Arguments

XMat	a n by p numeric matrix
yVec	a n by 1 numeric vector
numSim_Outer	number of times to select a best AIC model (default is 20)
numCV_Inner	number of cross validation splits per selected AIC model (default is 100) The best way to understand how the function is to break apart the name. Nested: LPM: Largest Plausible Model AIC: we choose the largest plausible model by minimizing AIC CV: we find the LPM on the training set, and get RMSE from the test set 50Split: we use a 50/50 split for the training/test set. This is very similar to the refitted cross validation method from \insertCitefan2012varianceMAIL

References

\insertRef

fan2012varianceMAIL

hwyneken/MAILPackage documentation built on July 27, 2022, 12:46 a.m.