forward_gevreg: Forward Selection on GEV Parameter

In pengyuwei94/evreg: Extreme value regression modelling

Description

Significance controlled variable selection selects variables in either mu, sigma, and xi with forward direction based on likelihood-ratio-test, AIC, or the Wald test.

Usage

forward_gevreg(fit, criterion = "pvalue", alpha = 0.05, do_mu = TRUE,
  do_sigma = FALSE, do_xi = FALSE)

Arguments

fit	An object of class c("gev", "evreg") returned from gevreg summarising the current model fit.
criterion	Either based LRT(Likelihood ratio test), AIC, or pvalue(by Wald test). Default criterion is pvalue.
alpha	Significance level if criterion equals pvalue or LRT. Default value is 0.05.
do_mu	do forward selection on mu if do_mu equals TRUE. Default is TRUE.
do_sigma	do forward selection on sigma if do_sigma equals TRUE. Default is FALSE.
do_xi	do forward selection on xi if do_xi equals TRUE. Default is FALSE.

Details

The function performs forward selection for an object of class c("gev", "evreg"). If do_mu, do_sigma, and do_xi all equal TRUE, then the function performs forward selection on mu first, then on sigma, and finally on xi.

When a new model is fitted in which an extra covariate is added, we use starting values based on the fit of the smaller model. The start value for the new added variable will be set to be zero.

Value

An object (a list) of class c("gev", "evreg") summarising the new model fit (which may be the same as fit) and containing the following additional components

Input_fit	The input object of the class c("gev", "evreg").
Note	A message that tells if a covariate has been added or not.
Output_fit	A list that contains formulae for the parameter, and the output object of the class c("gev", "evreg") if the output fit is different from the input fit.
added_covariate	A character vector shows added covariate
criterion_value	criterion value for if both input model and output model are different.

See Also

gevreg

Examples

### Annual Maximum and Minimum Temperature

P0 <- gevreg(y = TMX1, data = PORTw[, -1])
forward_gevreg(P0)

pengyuwei94/evreg documentation built on Aug. 29, 2019, 1:06 p.m.