R/regpecv.R

In musto101/wilcox_R: What the package does (short line)

regpecv <-
function(x,y,regfun=tsreg,varfun=pbvar,...){
#
# Estimate prediction error via leave-one-out cross-validation
#
# regfun defaults to Theil-Sen estimator
# function returns measure of prediction error: robust measure of variation
# applied to the n differences y_i-y_{-i}, i=1,...,n
# where y_{-1} is estimate of y when ith vector of observations is omitted.
#
xy=elimna(cbind(x,y))
x=as.matrix(x)
px=ncol(x)
px1=px+1
n=nrow(xy)
vals=NA
for(i in 1:n){
est=regfun(xy[-i,1:px],xy[-i,px1])$coef
vals[i]=xy[i,px1]-(est[1]+sum(est[2:px1]*xy[i,1:px]))
}
pe=varfun(vals)
pe
}