cv_haldensify: HAL Conditional Density Estimation in a Cross-validation Fold

In nhejazi/haldensify: Highly Adaptive Lasso Conditional Density Estimation

HAL Conditional Density Estimation in a Cross-validation Fold

Description

HAL Conditional Density Estimation in a Cross-validation Fold

Usage

cv_haldensify(
  fold,
  long_data,
  wts = rep(1, nrow(long_data)),
  lambda_seq = exp(seq(-1, -13, length = 1000L)),
  smoothness_orders = 0L,
  ...
)

Arguments

fold	Object specifying cross-validation folds as generated by a call to make_folds.
long_data	A data.table or data.frame object containing the data in long format, as given in \insertRefdiaz2011superhaldensify, as produced by format_long_hazards.
wts	A numeric vector of observation-level weights, matching in its length the number of records present in the long format data. Default is to weight all observations equally.
lambda_seq	A numeric sequence of values of the regularization parameter of Lasso regression; passed to fit_hal.
smoothness_orders	A integer indicating the smoothness of the HAL basis functions; passed to fit_hal. The default is set to zero, for indicator basis functions.
...	Additional (optional) arguments of fit_hal that may be used to control fitting of the HAL regression model. Possible choices include use_min, reduce_basis, return_lasso, and return_x_basis, but this list is not exhaustive. Consult the documentation of fit_hal for complete details.

Details

Estimates the conditional density of A|W for a subset of the full set of observations based on the inputted structure of the cross-validation folds. This is a helper function intended to be used to select the optimal value of the penalization parameter for the highly adaptive lasso estimates of the conditional hazard (via cross_validate). The

Value

A list, containing density predictions, observations IDs, observation-level weights, and cross-validation indices for conditional density estimation on a single fold of the overall data.

nhejazi/haldensify documentation built on Feb. 23, 2024, 8:25 a.m.